I had the same problem. David Beirl pointed me towards the coolant level relay that resides behind the dash. I replaced it with a new one from Ken at Van-Again and the light works just fine now. Check the archives for coolant level relay, I think you'll find what you're looking for. If not, let me know.
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Leo Lipert
San Juan Capistrano, CA
'84 Wolfsburg Westy with leaky heads
'00 Golf