If the light STAYS ON, then you have an issue. It comes on before you start the engine because there is no oil around the sensor. Once the engine starts turning, the oil is pumped round, so the sensor can check the level and/or pressure. If all is well, then the light goes off :)
When the key is on and the engine is not running you have...no oil pressure! So the light is lit to 1). tell you it is working and 2) you have no oil pressure. Once started the light should extinguish telling you all is well. Your owners manual is a wealth of information on the extremely obvious as well as the merely obvious. You should spend some quality time reading the darn thing!