1999 Mercury Sable Headlights

If the headlights turn on, while the car is off, and you haven't just been driving, then the cause is a short in the electrical system between the lights and the switch, causing a complete circuit for the lights to work.

If you've just been driving, and the lights won't turn off for a period of time, then it's because the little scroll wheel on the left side of the dash by the lights is turned on, and the lights are designed to turn on when it's dark out, and stay on until after you go into the house/pizza place/etc.