Headlights left On and No Buzzer Warning

[Jerry]

I have a 97 Expedition 4x4. No mods, baseline model. Do they have an alarm that warns you that when you turn your engine off with the headlights on, that an alarm comes on to notify you? I am always forgetting to turn off my lights when I turn the car off and leave it, inevitably running the battery dead. This has never worked since I bought the vehicle. If it does have a warning buzzer - Does anyone know what I could look at for troubleshooting or replacing? Thanks for any feedback!