Either your gas tank is at or near empty , your oil pressure is too low , or
your engine coolant temperature is too high
Check and fix the engine.
Follow the troubleshooting tree that is associated with that code.
With an OBD2 scan tool. The problem must be repaired or the light will just come back on.
I was looking at the 1999 Mercury Cougar Owner Guide and it does not show that it has a gas cap warning light
On a 2000 Mercury Cougar : That's your Anti-theft system status light
it looks like a little orange engine in lower left on dash
check gages
check the recalls there is something in there about tail light and signals
The check gages light on the Pontiac Firebird Trans Am means to check temperature, low oil possibly, water. These are to be kept maintained for the car to run properly.
You need an oil change.
You are low on coolant.
check for water in the head light glass it could splash on the hot bulb and blow it.