Bulbs can be operational and still trigger the "bulb-out" indicator...a bulb that is dark gray will signal impending failure...but still illuminate.
You can probably rule out a number of bulbs through common sense. If if comes on without the headlight switch being activated, you can rule out those bulbs (including the license plate light). Comes on when braking? Check brake light bulbs (including the third brake light).
Comes on when first starting, but goes off when switching on headlights? You have a grounding problem on one of the taillight housings. In that case, you must open the housing and jiggle each of the bulbs to see which one does not have proper contact. When you find it, the "bulb indicator in the dash should go off. Then get some needle-nosed pliers and adjust the socket so that the bulb can seat more firmly.
Also, remember to replace bad bulbs with the correct wattage (usually 10W for the bitty bulbs and 22W for the rest). Use Sylvania, Philips, or OSRAM bulbs with the nickel-plated housings, not the gold-anodized domestic jobbies...they will set off false ohm readings and light up your dash indicator for no reason!
2009 ML350 (84K) - Family vehicle
2001 CLK430 Cabriolet (71K) - Wife's car
2005 BMW 645CI (124K) - My daily driver
2012 Mustang V6 (60K) - Daughter's car