The theft light stays on.

The theft light next to the gauges stays on if I use the automatic door lock button. If I leave the key on the ignition and then press it it doesn't do that. And my passenger door doesn't lock I have to always press the stick down manually. Im guessing its electrical of some sort. Any suggestions. Also ive noticed now that if I leave anything on, or if I turn on the headlights and dont turn on the car immediatly it drains the battery. Im use to it so I dont have a problem starting it, it is my car. But it bothers me because my brother sometimes uses it and of course he forgets and has to have the car jumped. I dont like that. By the way is jumping the car too much ever a bad thing?