Why does my furnace make hot whater and heat the house at the same time?

Usually, the "furnace" has one circulator pump and various thermostats tell which zone valve to open/close as necessary. As one of the others said, it is probably the zone valve for the base board that is staying open when it shouldn't. Some of these valves have a small metal lever that is a manual overide to force the valve to stay open regardless of the thermostat setting, see if somebody has messed with it. If you have a volt meter, you could see if the valve is getting 24 volts when it should be "off" (if so, there is a wiring or thermostat problem). If you don't have a volt meter, on some of the zone valves, the whole actuator assembly comes off, if it is removed and the baseboards still heat, the valve is physically stuck open (probably minerals/corrosion).

I believe what you are calling a furnace is actually a boiler.

In most municipalities any work done on a residential boiler must be done by a qualified and licensed technician due to the inherent dangers of such a heating system.

So get out your local phone book and look for someone who does repairs on residential radiant heating systems.

A valve is not closing properly, either mechanically jammed or a relay is stuck sending wrong signal to a valve. You will probably need to call a tech to identify failure point.