yes I think I know what it is.....you have the automatic light switch on....what that is is that everytime you drive your car, it will turn your headlights on, kind of like Daytime running lights.
to turn it off....look at this picture...
http://l.yimg.com/dv/izp/toyota_coro...eringwheel.jpg
**look where your light switch is....see in the picture, there is a symbol thats something like ~=D Its like a squigly line and a lightbulb switch.....simply turn those down to off and you should be able to turn them off.
if that doesn't help then please refer to owners manual for further instructions.