How can I get my lights off after the alarm system is activated?

Barbra, I'd suggest taking this in to the Volvo dealer. Perhaps something was damaged when they tried to break in. The lights should go off on their own after you reset the security code and can start the vehicle.

What lights are on? The ones in the radio are on constantly? Or are you talking about the headlights? It *sounds* like the ignition switch might have been damaged. The easy temporary fix (if I am right) is to use a very small screw driver and turn the "daytime running lights" screw to "off". The screw is towards the bottom of your headlight switch, it's very small and not easy to spot, but put your eyes near the headlight switch and you'll see it. What it does is determine if the headlights come on when you turn on the ignition or not. If the switch is damaged by a theft attempt, it might think the ignition is on and leave the headlights on (or even the radio and other accessories) thus draining the battery. If you turn the screw (at night so you see if the lights are on or not) you can turn it to leave the headlights off unless you turn the switch to on. I'd locate a good independent Volvo mechanic in your area and talk to them and see what they think.