Those are called the "Side Marker Lights".
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
You need an oil change.
You are low on coolant.
it is located on the light a switch that says 12sec on and off
Blown fuse
its below freezing temperature
I have a instrument light that is on ---- 1999 Cougar , it looks light a transmission, but I think it is the emission indicator on the far left of the steering wheel, what does this mean?
The radiator fluid is low or you parked the car at am angle.
Check and fix the engine.
On a 2000 Mercury Cougar : The warning light that looks like a can with an X through it , located between the engine coolant temperature gauge and the tachometer ( at the bottom of the gauge cluster ) is your ( LOW engine cooling system warning light )