Your car has cornering fog lights; as you turn the wheel or indicate below a certain speed (30mph I think) the fog light on the relevant side comes on to aid visibility low down on the road as you turn into a road/ driveway etc. I thought it was a gimmick but find it surprisingly useful.
You can turn it off - go into the menu, personalisation, external light options and untick the box with 'cornering lights'.
Do you mean when the car is going round a corner at relatively slow speed, e.g. making a turn at a junction? If so, then this is a feature, not a fault: it complements the turning headlights and allows you to see where you are turning in to before your head lights are pointing in that direction. I like it!