I just got a 2001 Montero Sport. The headlights come on and stay on when the engine is running. I can't turn them off. When the engine is not running the headlight switch works as expected. Are the lights supposed to come on like that or is something wrong. A friend with a different brand car says his does it too and was designed to do that

 

take a good look at the relay box under the hood. it sounds like you may have a short circuit.