The way the light works, is it has power going to it, and the ground wire is hooked to a pressure switch. When it has pressure, it breaks the circuit, the light has no ground, and it goes off.
When there is no pressure, the wire gets grounded through the switch to the block, and the light goes on.
So you have either
a: no oil pressure
b: bad oil pressure switch
c: wire not attached and hitting a ground
d: wire cut and grounding somewhere.
find the oil pressure switch, see if the wires attached to it, if its attached disconect it and see if the light goes out. It should, if it doesn't that means theres a wiring problem. If it does go out, replace the oil pressure switch, if its still on after you replace the switch and hook it back up, then you have no oil pressure. Rebuild time
Or you could skip all this crap and just install a mechanical oil pressure guage.
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Dan
-91 Cherokee, 4.5" lift, 33x12.5's
-69 Ford, lots of lift, 38.5's