Check your owners manual (paperback version or the iDrive version)...it usually means something related to the emissions system has registered a fault code. If you had a simple OBD II reader (or even a more expensive unit)...you could hook it up to your OBD II port to retrieve the code. Or you can stop by your local AutoZone, Advanced Auto, PepBoys, O'Reilly's, etc...they usually will read OBD II codes for free. Make sure you get the 5 digit DTC (diagnostic trouble code) before you leave...so that you can type it into google to find out more info about it.
{breakdown of an OBD II DTC: if you use a standard OBD II scanner/reader...it will give you a 5 digit code...the image below shows the areas the code represents}
A Check Engine light is one of the most misunderstood warning lights...it doesn't necessarily mean your engine is about to break down...it was created as a warning about emissions (air pollution)...and created an across the board standard for all car manufactures and car industry in regards to standardized codes and interpretations.
If the engine isn't stubbling or cutting off...and the CEL isn't flashing...then you should be able to drive the car to have the car scanned (if you don't have a scanner/reader tool). It could be something as simple as the fuel filler cap wasn't screwed back on correctly...but we won't know until you have the car scanned.
Example of Owners Manual info: (see EMISSIONS)