I know this is way too late for orig poster, but hopefully it will help someone.

I had a 95 EB explorer with the same problem. After checking all door pins as previously suggested, I finally took it to a good auto electrical shop. They finally traced it to a relay near the back cargo area. Small .75" x .5" x .5" device. I figure it has to do with the fact that the lights stay on for a bit after you close the last door, to let you find your keys, etc. This delay probably involves the bad relay. When I also removed the relay, it killed the dash lights too in addition to the courtesy lights and power windows. It was very difficult to drive with the interior lights on but also sucked to drive w/o dash lights.