There's parking lights which barely use any electricity and can thus be left on for a long time without the car running out of battery. You don't have to have them on every time you park the vehicle. They're only necessary if the car cannot be seen in the place that it's parked due to improper illumination (no street lights etc.).
On the headlight lever to the left of the steering wheel, there's a step between "ON" and "OFF" that's just the parking lights. Looks like this: http://puu.sh/hecOG/b21286e81a.jpg (Sorry for the bad quality, I couldn't find a better picture).
Is it really normal for them to go off? That seems kind of weird to me.
@intersecty: I'm not sure if you're joking, but Austria isn't the same as Australia.But I'll forgive you, since a lot of people confuse the two.