1998 Subaru Legacy lights stay on

after I kill the engine and turn all the lights off, my night lights, front and rear remain on. A friend told me that it might be a relay but I do not know where it is located. I also need to know how to check if I can find it. Also getting a clicking noise, like relays coming on and off. For example, the cooling fan comes on even when the engine is cold as soon as I turn the ignition key on.
I will be more than glad to donate as soon as I can have a answer