OK guys I had exactly the same problem and I am pleased to announce my problem was not the Theft Deterrant ECU, a leaking screen or light relay.
The problem with mine was a faulty electrical cable from the PASSENGER side, so in the UK thats the left hand side of the car, from the fusebox to the engine bay area.
The cable was replaced, 3 hours labour, and all is working OK.
So just because you have the classic scenario of the headlights are staying on after you turn the car off, isn't necessarily always the ECU/screen or light relay!
Cheers