Why does my head lights drain my battery?

Make sure the battery is mounted securely and the positive and negative leads are connected securely at both ends.
Positive end should go to starter solenoid and the negative to the engine block from the battery.

If all of that is ok;

Try testing the voltage of the battery with all accesories on and while starting the car.
It may have a weak cell or the anode or cathode may have an internal connection problem.
Has the battery ever seen a hard shock? Like if it was dropped or the car it is in was in a wreck.
By the way, when you load test the battery, checking voltage while starting. The voltage of the battery should stay near 12 Volts. If the Voltage drops drmatically, you have a bad or less than within specification cell. With all the acessories on including the heater blower motor on High, the Voltage should be 13.5-14.1 Volts when the engine is running at 2000 RPM.

If everthing test out alright, you probably have a short somewhere that is draining battery. To see if you have a drain one the battery, performa the following test;

1. Disconnect the negative battery cable and connect an ammeter between the cable and the battery post.

2. If the ammeter reads over 25-50 milliamps, something is draining the battery.

3. Remove fuses one at a time from smalles to largest amperage.

4. Watch the ammeter and when the readings drops after pulling a fuse, the fuse that reduces the drain is drawing from the battery.
You will have to get a wiring diagram to see what is on the circuit associated with that fuse.

5. Check parts on that circuit and watch for ammeter to drop. This is the component causing the drain.

6. Re-check the amperage draw on battery with ammeter to test your fix.