My Interior light stay on even when the fuse is removed. What could cause this?

Also there are some funky aluminum looking fuses that say Warner 30A 12 V. fuses. Are thise like the ones that are made now that you can see though?

Lastly the windows are having a problem. The driver side window will not roll down. The fuse looks like it is missing. I tried to relace it but the fuse will not stay in place. It looks as if the metal part that grabbs the fuse is missing.