That problem is common with the dunlops and most of the other "older" design wah-wahs, even when the wah wah is off the signal from your guitar is still going thru part of the wah circuitry, it knocks off alot of your high end, and really kills your sound, (no kidding right!) you got 1 of 3 choices, 1. Toss the wah-wah and forget it, 2. Buy a fancy new , high tech wah-wah that uses a different type of circuit, 3. Have your dunlop modified with a kit that a few different places sell, usally called "hard-wiring or by-pass mod, if that sounds like you want try :

http://www.torresengineering.com

look on the Guitar Kits page, Good Luck...........