I had the same problem on my 1993 4x4 Sierra Cosworth, turned out to be a faulty rear wheel sensor. The light would come on when the car was started and stayed on when driving.

If you have a multimeter you can check each of the sensors, unplug the sensors and check the resistance across the sensor connections, you should get a reading of about 1100 ohm's. If you get no reading then that particular sensor is faulty.