With my DRLs, they come on when I turn the key to "on", then flash off while the engine is turning over (to save the battery), then come back on once the key returns to the "on" position.
I would just pull the fuse....
here is a pic of 99 MC headlight for those that haven't seen them before:
You can see there is two headlight areas... can't remember which one is for DRLs.