I found a similar problem to this on an older thread, but I have yet to get a response, so I thought I'd try here...
I left all four windows down on my 2000 e430. A very severe downpour came upon us that same night, wouldn't you know it. Anyway, I realized at 4:30am that I forgot to move my car off the lawn, and park it back in the driveway, where a visitors car sat earlier in the evening.
The first thing I noticed was that the fog lights, front marker lights, and taillights were all on. I attempted to roll up the windows, but by this time, the battery was too low to run the motors. (No previous battery problems, by the way). So, I put a battery charger on the car, covered it with a tarp, and hoped for the best.
When I went back out a couple of hours later, all of the above-mentioned lights were still on. I did some Internet sleuthing, and the first culprit was the shifting mechanism. So, I removed the shift knob, console cover, etc., and put a small heater in the car for the day. The battery charger allowed me to get the windows back up, so no real problem there. Since the car still shifts fine, through all four gears, etc. I am inclined to rule this out as the problem.
Still no fix though, so some more Internet searching lead me to a similar thread on this site. So, I took out the back seat and discovered the PSE pump module. I took it out of its foam coffin and have let it air dry for about two weeks (I have a pick-up truck as a back-up vehicle). During this time I discovered the fuses that protect the fog lights and marker lights, (#7, #9, and #10, as I recall) in the fuse block on the left end of the dashboard. Just yesterday I put the fuses back in, but the fog lights, front marker lights, and tail lights still come on. (Quick update: That was another two weeks ago, and the problem is still the same).
I guess my next step is to remove the PSE and maybe have it tested, or see if I can get that bottom panel off of the unit, to see if there is moisture, corrosion, or some other visible problem. My big question here, how do you remove the vacuum hoses? They seem to be on REAL tight. Also, how do you undo the electrical contacts? Same problem. I see that these units can be bought, tested and warranteed from $100-$200 on eBay. I'd like to see if I can fix this one first. New ones seem to be unreasonably expensive.
Of course, I am not certain that the PSE unit is where the problem is, but my issues seem to parallel those others have had in similar circumstances, where servicing or replacing this unit solved their problems.
Anyone care to help? It would be very much appreciated!