You have timers either set in your config or on the remote. The way to see what's in your config is to make a backup copy, change the .pcf extension to .zip and then open the zip. Inside, there is a file named ConfigEdit.xml that at the bottom should have a RootConfiguration (or something like that) that lists any timers you may have. If they are in this file, then that is why they continue to show up on the remote.
On the remote, enter tools (hold the pronto icon for 2 seconds) and then goto settings to determine if any timers are configured.
With regards to learning/using RF directly without an extender, search the Classic Pronto Forum for posts by Dave Houston.
I know some folks have used Pyramid RF extender to learn RF codes to IR on the Pronto. That is one way to do it but I do recommend a search.
You also did not post exactly what lighting make/model you have. Maybe someone on here has a config file.
