96' Ford Windstar Headlights won't turn off.

My Windstar's headlights don't turn off anymore when the car is not running. If I pull out one of the fuses it will switch them off so I don't drain the battery, but this isn't a long term fix.

Yes, the headlight switch is in the off position. Only the daylight's should be running and of course turn-off when I shut off the engine.

What could be the problem?

Most likely the issue is in the switch itself. I would call a junk yard or buy a new switch and change it. It is not that hard. Get out you're handy dandy metric socket set.. you will need a 7mm to remove the plastic cover and the metal plate under the stearing wheel. Also use a screwdriver to help pry the plastic cover off from around the switch itself as it is only held in by clips. Oh ya dont forget to take the headlight knob itself off by pulling on it. After you have the knob, the plastic around the knob and the plastic and metal plates off from under the stearing wheel.. you will see 2 or 3 (cant remember) small (7mm I believe) screws hoding the switch on. Remove them and the switch will then be able to be pushed back and then pulled out from under the mount. Unplug the wire harness from it and instal new switch. Ya I know my directions are kinda jumping around like a mexican jumping bean... I am still not awake yet.. lol. But it is pretty easy so I will trust you can handle it.Its a total of about 7 or 8 screws and thats it. good luck.

The cause is more likely to be the Daytime Running Lamp module.
Try unplugging the module . Unfortunatly I don't recall where the module is located. Perhaps Perhaps someone else could shed some " light " on the location. The rest of the lamp system should work with the module disconnected.