I agree with Lindy Loo. Sounds as if the wiring has been done wrong, or something has come undone somewhere.
I assume when you say the heating "comes on", you mean properly, with the pump going? Not just a couple of radiators getting warm? The latter could just be some convection, or it can happen if the pipe layout is not quite right. In this case the boiler pump "overshoots" and sends some water round the heating circuit -- the job only the heating pump is supposed to do.
A heating engineer should be able to sort it out, either way.
Nickienickie -- If your thermostat can turn off the heating, your heating itself must be working properly, with the pump going and everything. It's your controller which is not right -- either broken, or wired up wrong. You should be able to choose hot water without heating, or both. Some layouts can also do heating heating without hot water, if you should want that. New controllers are quite cheap.