How do u turn the headlights off on a jetta?

Just to supplement djaca's answer, the 1999.5-2005 Jettas are actually Mark 4 (IV) generation. Besides removing the relay and easier way to disable the daytime running lights on this model is to remove the headlight switch (by pushing the knob "in" and turning it clockwise half a turn, then pulling it out) and putting a small piece of electrical tape over or bending out of the way the pin labeled "TFL" in the harness plug. I prefer the electrical tape method since it's a non-permanent modification, but whenever you remove the switch in the future you will most likely have to replace that piece of tape as well. On MK5 and MK6 VWs you can disable the daytime running lights by accessing the Central Convenience module using a VAG-COM or VCDS cable and computer. Google "Vag-Com locator" for a website that can pair you with a local owner to help out.