My partner and I were driving the I10 from Las Cruces to Lordsburg and spotted three bright lights in the sky off to our right at about 9pm. They formed a triangle - the brightest was the one to the left. Around half an hour later we noticed that they hadn't moved at all (in relation to each other - or in relation to their position to us it seemed, despite the fact that we were moving at speed along the interstate).We first noticed the lights as they were very bright in the sky - they were eye catching - then we kept noticing them as they weren't appearing to move. We didn't know what they were at all; they didn't look like anything we'd seen before - they didn't look like natural lights and they were too high up but they were unsupported, so we assumed they must be a plane or helicopter, but they hadn't moved at all. I had my camera with me (we were on holiday in America from the UK so it was constantly out in case of cool roadsigns and bumper stickers!) and it has a fairly good zoom so I tried taking some pictures of the lights but I couldn't get a perfect shot of them because of the movement of the car.We were joking that it might be aliens as I was zooming in, purely because they were so stationary it didn't seem right or normal, but when I got a better look at the zoomed photo I got a shiver and I didn't feel like we were joking anymore as we actually couldn't think what else they could be. That sounds daft/stupid but I started shaking with an adrenaline for some reason. I felt like I shouldn't be looking at it, and my partner said she felt the same. It looked like they had flames or trails coming from them.We were going to pull over at the next opportunity so I could get a better photo but before we could come off, the two less bright lights seemed to blink off and the last and brightest one shot straight up into the air at a speed I've never seen before and disappeared. It went so quickly I couldn't get a photo of it or really even have time to tell my partner what was going on. (I feel like I should point out that when we got home from our holiday and I started looking into this I've found that there are military bases and things nearby and my partner has pointed out that it could have been a plane or something from one of them, but at the time we both totally didn't think the lights were planes. However, I am uploading photos and am happy to be told that I was overreacting to what I saw if you can confirm it was a plane! Thank you!)