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You have to go through the user settings and enable the headlights to automatically turn on.
I usually keep it off, because it turns them on much earlier than I would like, and us having pop-up headlights, I'd rather not turn on the headlights until its actually dark.
As for the other bulbs, here's a write-up of how to remove the switches. I didn't find much information on how to change the bulbs, but its fairly popular to put LEDs in them instead of replacing the OEM style bulb.
Anothert question is...what is that little light on top there for? it never comes on
If I recall what you refer to as "a little light at the top" is actually a a light sensor. It only controls the blue MPH indicator bulb in the center of your speedometer gauge. It makes the blue MPH brighter in day light and lowers the intensity as it gets darker outside. You can test its operation by starting the car out in the day light, then covering the sensor with your finger the MPH lamp will dim.
You have to pull the entire dash to get to that bulb. I just did a HUD install and had to pull EVERYTHING out to get to the cluster. It's a 4 or 5 hour job ! I would say either live with it or plan some other upgrades to do while it's a part. Do you have a HUD ? It's a great upgrade. Maybe change out all dash lights to LED or install the chrome rings around your gauges.
Just say'n , it's a lot of work for one blub. Might as well mod something while it's a part. If you do a search for "HUD install" with pics, it will show you step by step how to take the cluster out.
Thanks Guys, I appreciate the info. Yeah I am going to wait on replacing these i never was good at pulling a dash out of a car and think it may be over my head. Thanks for letting me know about the sensor also.