Is it the battery/charge light? on my 05's panel, the two lights it has for engine info, low oil pressure and charge are located to the left of the gauges and have battery and oil can symbols over the lights(light shines thru the icon). Both these lights come on when the key is turned on and go out as soon as the oil pressure rises a few PSI above 0 and the volt regulator senses power out from the alternator(opens a contact in the alternator and shuts off the light under the battery icon).
Does your gauge panel have an amp gauge on it? If so, it should go into the negative while warming the glow plugs and cranking the engine during startup and immediatly go into the positive range as soon as the engine runs. As the alternator makes up the power consumed by the preheat/startup, this amp indication will gradually drop back near zero/center. If yours is not doing this, you may have a charge circuit/alternator problem.
Do you have a picture of your panel?