Start your car with a foot on the brake? If not, you should. Odd that the light doesn't go out.
Oh, by the way, if you want the bloody annoying yellow "Check" to go out, there's a button on the overhead console that says "Check" on it. Push it. This lights up all the daignosis lights, and when released, the Check blinker will stop, but the warning light on the overhead console will stay on. Might help you stay sane.