Get yourself a Haynes Workshop manual for the car - £15 well spent.
I assume you've renewed the oil and used a genuine oil filter? The oil level is correct?
An oil pressure warning light (or low gauge reading) means one of two things: either your engine has dangerously low oil pressure, or the oil pressure sending unit that triggers the warning light (or operates your gauge) has failed.
If it is the oil pump itself then you'll need to follow the detailed instructions in the workshop manual. Good luck.
ChicksFan, May 2011