That "Check Engine" light you see, with the little engine icon, is a warning. This light means that there is something in your engine's system that needs attention. There is no reason to panic, although it should get investigated at your earliest opportunity.
The problem could be something as simple as a loose gas cap. Or it could be more serious. The best strategy to go about doing would be to pull over and check your gas cap. If this reason does not solve the issue, go see an authorized service technician immediately...