I can't turn off my headlights
 

I just had my transmission rebuilt on my 2003 ford f150 supercrew and when I picked it up the headlights were stuck on. They said when they hooked the battery cable back up they were on. They said they didn't need to unhhok any wiring, just unhook the battery cable. We couldn't figure out what was wrong so I took it home and unhooked the cable. I un plugged the main light switch on the dash and hooked the battery cable back up and still they are on. If it is a relay or fuse I can't figure out what number in my manual. Can anyone help me out with this?