Is there an owner's manual handy? You can find one online probably. When you find one, there'll be a section that should explain the trouble indicators and what they mean.
I found the 2001 Lincoln owner's manual online. Here it is:
If this is the same indicator, it should be located in the lower right corner of the dashboard indicators, just under the fuel gauge -- in a cluster of 4 indicators...position #3 of 4;
Bulb Warning (if equipped)
Illuminates when the ignition is in
the RUN position and one of the
exterior bulbs has burned out.
Also, while on the subject of troubleshooting a repair issues, I did find a site that has some trouble-shooting info and repair advice on Lincoln.
Click on the following hyperlinks: