I have a 04 rx8 I was wondering what would cause my car to stall and kill over when I turn the headlights on or even roll up the windows???
I have replaced coils, wires , spark plugs , catalytic converter, gaskets , maf sensor , ssv valve and I’m kinda new to the whole car thing too

 

Good that you've replaced those things but it sound like an electrical issue. Have you cleaned the battery terminals, grounding points and tested the battery? When you roll up the window or turn on the headlights you're putting extra load on the electrical system and either something is shorting or the extra current draw means there isn't enough for the ignition to fire..