All that's happening is that the sun has set at ground level, but if you went up in a plane to as little as 2000ft just after sunset, the sun would still be above the horizon - earth's curvature.
We've just passed the summer solstice. I live on lat N51°-30', where sunset is well after 9pm this week, and it stays light till just before 10pm, and we see this effect here quite often. If you live close to the equator you might not see it because twilight is so brief near the equator.
When I saw this thread, I thought you were talking about Aurora Borealis - the Northern Lights. Check out this Finnish website (written in English).
http://virtual.finland.fi/finfo/english/aurora_borealis.html
