Quick question, Headlight doesn't turn off, unless i take the headlights Relay off. Even with the car turned off and no keys in the ignition.
What should i be looking for to fix? Never happen to me before, i had few headlight problems with them not turning on.. But never had problems turning them off.

 

Which relay are you pulling? Can you provide a picture?
If I had to guess your issue, and I will but this is not much to go on, there is the MPX Body Relay nested in the fuse box under the hood. It holds 5 fuses, has 3 connectors out the bottom, is locked in by two tabs on each end and is the controller of the lights. It is the logic that when the switch is turned, data is sent to this module, it decodes the command and turns the lights on.

These are not known to fail so the problem may be some type of communication issue with the Body Control Module. i.e. BCM Computer. Hint - these are not old school where you turn a switch and power comes from the battery, through a fuse, through your switch and out to the lights. This is more like you call me as you have my number and tell me to turn the lights on (you sent a a request for an action over the MPX data stream), and whalla - the lights turn on.

You can grab these off ebay for $15 USD and try it. They may vary by country slightly. Starts with PN 89211-xxxxx

What is the health of your battery. A dead or dying battery can cause a loss of data and cause all kinds of trouble on these cars. Have the battery and Alternator checked first!

Module looks like this!