If you car has the early bi-xenons without the LED's, they will be turned on all the time with the headlight switch in the OFF or AUTO position, as they are used as DRL's.
There is no option in the DIS to alter this setting, but you can turn the DRL function off completely. I can't remember the exact procedure, but it goes something along the lines of hold the left hand indicator down and the stalk in the flash position, then turn the ignition on and off. It's in the handbook anyway.
Doing this, your headlights will still function normally with the OFF, AUTO, PARKING, DIP doing exactly what you'd expect them to do.
Cornering lights on xenons is when the headlight swivels with the steering, as opposed to the winking fog lights that the GT has. Travel mode is to convert the beam when driving abroad.