Why does your 2003 Windstar SEL say Check front left headlamp when there's nothing wrong with it?

The status of the lamp itself is monitored by the front electronic module (below left side of the dash). I had a similar problem with a brake light. I had to replace the rear module to correct the problem. I suspect you are looking at a similar solution with the front module. The SEL is one of the most computerized vehicles out there. Good luck.