My Explorer is haunted

First I'd like to thank you ahead of time for any help anyone can give me. I recently got a 1995 Explorer (eddie bauer edition if that helps any) And the Battery kept dying on me, I even bought a brand new one and it still died after only a few days. Well one night I got home from work and the headlights were just on. I had driven it a bit before I went to work so I thought maybe I was just dumb and left the headlights on. But the switch was turned to off. Eventually I put the key in the ignition and turn it then turn it off and the lights go off. So I figured it was maybe the alarm system and deactivated the alarm. So I turn it off and get the battery (the new one) charged up and put it back in. So this time after I drive it I don't turn the alarm on. And the same thing happens. So I'm just totally lost I can't figure out a reason for this to be happening. If anyone has any ideas I'd really appreciate hearing them. Thanks very much.

does it have auto lights? aftermarket alarm?

It doesn't have day time running lamps if that's what you mean and I'm pretty sure that the alarm is stock, I don't have a remote either for it it just activates when I lock all the doors and deactivates when I unlock it. Also it's done it when the alarm was disabled too. I thought for a while that someone elses remote might have been activating it though, because there is another explorer in my parking lot. I hope this answers your questions. And thanks for any help.

Hate to ask, but have the obvious things been checked.........altenator output, dirty cables, etc....??

sounds like either the autolamps or switch is bad.

Okay I've got somewhat of an update here. I found out that the Automatic Antenna motor was running nonstop, so I pulled the fuse for that. Thinking that maybe that since I hadn't been driving it much this was running the battery down and the headlights were just a separate problem. Then I find out that there is a plug that was installed for boat hitches and found a bare wire in that line so I pulled the fuse for that. Also I believe it has auto lamps and I'm trying to figure those out right now, reading the manual. But I'm 99% certain the lights came on several hours after I left the vehicle after seeing that they were off. So they're turning back on somehow I guess.

Also Valxdez we pulled the positive terminal off of the battery while it was running and it didn't die so the alternator is giving a charge as I understand it. Please correct me if I'm wrong there Also the cables look very clean to me. I hope that covers everything for now. I'll be sure and post an update in case you're curious. Thanks again.

gideonfrost, never pull the battery cables off a fuel injected car when it is running. there is a chance you can spike the ecm. when you do that you are running the alternator at its peak voltage which is around 16-18volts and if there is a spike in voltage when you remove the cable you could easily exceed that 16-18 volts and of course no computer in the car would survive. i would start looking at your auto lights. you must have auto lights because a standard headlight switch when it fails will no way turn the lights on manually. when a mechanical headlight switch fails the lights dont turn on. look for the auto light relay/control module in the relay carrier or fuse box. it could be under the dash or in the engine compartment.

Whoops, well I think I got lucky this time cause the car still runs fine, could the spike have caused the lights to act up maybe? I still haven't looked at the auto lamps yet. I've been really busy with thanksgiving and all that crap. Hopefully this week sometime I'll get a chance to look, before it gets too cold. Heh.

Okay I'm just posting this for closure I guess. I've disconnected the Auto lamp terminal or whatever and everything seems to be working fine. Once again thank you guys for all your help.