See the thread about checking error/diagnostic codes in the MKIII FAQ section.
Yes, when the ignition is turned to the "ON" position but the engine is not running the check engine light is supposed to be on. Once the engine is turned on the light will turn off unless certain critical error conditions (very high level warnings) have been recorded. There are many problems which may cause the light to turn on only once and many others which won't trigger the check engine light at all so you should check for diagnostic codes anytime you have problems and it's a good idea to check them whenever you change the oil or even when you just check the oil while getting gas.
__________________
If something breaks or you need to contact a member of the administration please post HERE. Unless it's a private or administration matter please post it on the forum. It benefits no one else if car related questions aren't posted for future users and takes away from the time I'm able to spend helping on the rest of the forum.
If you're so inclined I'm always more than happy to accept tips via PayPal. 
Tip Jar ---> 
|