As stated above the reason the light stays on is that when you go around a corner the front wheels have to travel a longer distance than the rear ones (think of a bus doing a sharp turn on full lock) - therefore the front prop shaft goes round faster than the rear one.
If you put the diff lock in then the two shafts are linked together by a mechanism inside the transfer box which prevents the central diff from allowing the two prop shafts to turn at different speeds.
If you have diff lock in and go around even a small corner and the wheels are not able to slip to compensate for this you will do what is called 'wind up the transmission' this is basicly where the front ones have been forced by the ground to go faster (or slower in a few conditions) than the other axels one shave done. This causes strain to be put on the prop shafts, and also on the mechanism inside the transfer box that is preventing the central diff from turning.
So when you try to dienguage the diff lock, the locking mechanism won't release because it has too much strain being put on it.
Reversing sometimes helps to free it off (more often than not), but if it has a lot of strain on it, then the other trick is to drive one of the front wheels up on the curb, and then quickly drop it off again - this gives one of the wheels a brief moment in mid air, and allows it to loose the tension built up in the transmission.
So basicly as everybody said ONLY put diff lock in when on snow/ice/loose sand/oil etc (i.e. a surface when at least one of the wheels is going to be able to loose traction with the surface to prevent this wind up occuring....... and then remove the lock as soon as (or before) you pass the difficult ground.
If it will not come out of lock, then you need to free it off with one of the methods described above before you drive too far. If all else fails then get the jack out, but stay away from the wheel you lift up as its going to spin round a bit! - Best idea is to avoid winding it up in the first place!
BTW - i did type the above into another thread lsat night - so Welcome to LZ and BTW there is a search tool in the top right of the forum screen !