The obvious response would be to replace the headlamp relay tucked in behind the radiator overflow bottle beside the passenger side fender. But I can also tell you that the first time I replaced one of the micro bulbs in the seat controller I used a metal screwdriver with the lights on to tighten the bulb and burnt the Illumination fuse in the passenger compartment fuse box......and the high beams came on with the headlights. I bought the $80 headlamp relay from the stealership only to find out it was a 50 cent fuse blown.
How are the rest of the interior lights working? How about the tail lights and brake lights? You'll also want to check the sockets in the brake lamp modules and dual filament bulbs for signs of melting. Is there a warning message in the odometer display? If so you'll also want to look at the brake and tail lamp sensor located below the trunk lock for signs of melting in the ground circuit.
See the "Location of Electrical Units" at the end of the EL section of the FSM for locations of the sensors and relays I've mentioned.
http://www.nicoclub.com/FSM/Q45/1995_Q45/1995_Q45/