88 BMW 325i headlight Problem

headlights wont wprk with the car on.......turn the car off and turn the switch on and they work.............start the car and turn the switch on and the will not work..................any ideads????????

when ever I have a problem I can't figure out I call the dealer and ask for the BMW machanic... the first thing I would check is the light relay.. I think it is the one in the fuse box nearest to the fire wall, just switch it with one with the same #'s on.. it can't hurt to try..