Here is my problem I do apologize ahead of time because it is a pretty lengthy story

A few days ago I went to shut the car off it stalled but I just figured I must have let my foot off the clutch before I turned the key off, when I came back to the car some lights on the dash were dimly lit up so I thought I must have left the lights on but I didn't. I started the car and it was fine so went about my business. Arrived to my destination put the car in first turned the key and pulled it out of the ignition and the car kept running..thought I was nuts so tried to turn the key back and forth a few times still didn't shut off, and then the anti theft light came on (car with a key symbol). I put the car in neutral and pulled the ebrake and then turned the key and it shut off. When I went to pull away the ebrake light was still lit up even though it was off and then the abs light came on so I shut the car off again and turned it back on and it was fine. When I got home it shut up off fine again in neutral but I could still here something running when it was off I think it was the pump for the air actuated locks?? I hear the same sound every time I open the door and my friends with vw have the same thing. Anyway the noise still was going when I went in the house come back and the car was dead..killed the battery with the pump running for so long? Googled a few things and bad battery was one suggestion, we got one and the same stuff is still happening. So if you leave it first gear and it happens to shut off lights stay dimly lit up on the dash..if you shut it off with the ebrake the lights on the dash go out but the pump comes on.

Any input or suggestions welcome!