When I turn off at the thermostat most times it will not turn off if it does go off it will pop right back on when I turn it off by the main power if I leave it off only a few seconds it comes back on when it stays off for a couple of minutes it will stay off Thanks

There is a bundle of wires that runs from the furnace to the thermostat. Disconnect the red wire at which ever end is easiest. If the furnace still runs, the control board may be bad. If the furnace doesn't run, you have a problem with the thermostat.

I did the test and it did run without the red wire so can you tell me where the board is?
I took the cover off I see bunch of wires and components nothing that looks like a board
Thanks for your help

Unless it is an older furnace, the bundle of wires from the thermostat should go to a connection strip on the circuit board with all the controls. If you pull the red wire off the connection strip and the furnace runs after closing it back up, you have problems on the board, and likely will need to replace it. $$$$$$$

If it looks more like this,

http://tinypic.com/hvx6vm.jpg

Look for a short between the red wire from the transformer and the white wire or the gas valve, the box near the bottom with the gas pipe going in one side.

This is an old electric furnace with sequencers, it has three. There were some wires connected to sequencer that were burnt I changed them and also replaced the thermostat and now everything is working fine other than when I turn on the ac the heat comes on too. Thanks again for your help