Why The Dash Light And Shift Panel Light And Climate Control Panel Light Go Out When Headlight Turns On

I just changed the stero in my 2001 civic coupe. Everything is ok except that all the panel lights are dark when turning on the head light. I checked all the fuse in two fuse box and did not find any problem.
Somebody said it is possiblely a problem with the traillight relay. Where is it? how can i replace it? Thank you.