Power is on after keys are removed

I have a problem. Yesterday, I noticed that after I turn off and remove the keys from my 94 accord, the lights on the A/C panel in the car was still on. I also tried to open the windows and the sunroof. Both open with out the key in the ignition. They never open unless i turn the ignition on. However, no light on the dash remain on. It seems the ignition is still on after key is remove. Probably the accessory wire , somehow power is left on to that wire. Has anyone had this problem. Could be a malifunctioning relay? I disconnected the battery, because i don't want to drain the it. Please help. Is possible that it is a short some where in the wiring.
I need help..
Thanks

ok that is what happens with the car once you open your door it will cut the power to everything. there is nothing to worry about its normal.

Thanks WalkMan5... I also had a malifunctioning relay. I have a relay that is hookup up to the accessory wire. Fix the problem. Thanks again