This may be your problem.... pay close attention to the switch and make sure you have it in the Off position. Turning the **** all the way to the left will cause the running lights to stay on. You want the switch to be somewhere in the middle which is the off position.

Not sure exactly what all the positions are but I do remember one time I turned the headlights off by turning the **** to the left. I remember I went back past the off position and noticed the running lights were still on and wouldn't turn off.