How do you fix it the audible warning sound for leaving your headlights on if it does not work?

I had this same problem along with the dash lights out. I found out it was a blown fuse in the fusebox under the hood. It is a 15amp fuse. The owners manuel identifies it as "small Interior Light".

You should also check the door switch to ensure it is properly connected and functioning. The switch has a protective rubber cover and is located on the outside of the post that separates the front and back doors. Remove it for inspection by lifting the rubber flap that covers the attachment screw (below the switch plunger)and unscrewing the screw with a no. 2 Phillips screwdriver or a hex head socket. The plastic switch attaches to the holder screwed to the chassis. The switch interrupts the ground side of the electrical circuit (normally open). If the switch is not firmly seated in the holder, the metal prongs in the switch do not make contact with the chassis ground circuit. If the switch is loose, try snapping it back into place, or replace if necessary.