I had a similar problem. The lights are on a timer. If I waited for the 10 or 15 seconds before starting the engine, the lights would go out. If I started the engine before the lights went out, they'd stay on. There is a timer module in the fuse box under the left side of the instrument panel that could be the culprit but my problem went away after I replaced my battery. Just taking power away from the system seemed to straighten everything out.
Karl


*** It's all about consistency! *** *** Previously 88SVT *** 06 F150 Supercrew 5.4L FX4 98 SVT Contour #4362 Born 1/6/1998 86 Ranger GT (For Sale) 69 Fiat 850 Sport Spider (For Sale) 67 Formula-S Barracuda