First thought was to look at the wires and see if anything is obviously wrong. Nope. Second thought was to disconnect the battery. That way I wouldn't run out of charge and I could connect it again in the morning. No dice. I didn't have a hex wrench to unscrew the battery connections. The I tried the fuse box next to the battery. Systematically pulled out most of the fuses but the lights wouldn't go off. Hmmm. Eventually found the fuse box for internal electronics and started yanking those out one by one. Sucess! After about half an hour, I managed to find the fuse associated with the directional lights control rod. So now I can't put on my emergency blinkers or my directional blinkers but at least I can drive without having to disconnect the battery every time I stop the car.

Lessons learned: persistence will result in a good solution. And also, a Sony Ericsson T616 Cellphone (or any cellphone with a color screen) makes a good, if annoying, makeshift flashlight. Oh, and I want a new car.