to add to what others have noted - the bulb out indicator can only the lights that are currently suppose to be on. So - if you start the car (without pushing the brake pedal or turning on the headlights) the lamp shouldn't be lit, period.

If it is - I would guess that KermitF is on to your problem - the MIL is for some other system.

If it is not on - press the brake pedal - does it come on then? If so, you know it is in the brake lights...

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Daily Driver: 02 E430 4MATIC
In the family: '03 E500 // '04 ML500 // 64 220SE