It would've helped if you had mentioned the car name for which you asked the question for. Anyway... Most vehicles have a headlight control switch on or near the steering column. This switch typically has several positions, including "Off," "Auto," "Parking Lights," "Low Beam," and "High Beam."
Your headlights, should remain off if you selected auto headlights mode. Maybe you're talking about daytime running lights? Check your owner's manual for information on how to activate or deactivate daytime running lights. It might involve a separate switch or menu in your vehicle's settings.
