On the light itself, on my 99 SLK230, which has practically the same engine, the low coolant level light can also be turned on by low windshield washer fluid level. I could never understand why but when the car was new, the dealer replaced two or three coolant level switches under warranty before finding out that either of the two things could turn on this light. After washer fluid was added, the problem was cured. If your windshield washer fluid level is low, add some and see if it cures the problem.

If it is the switch on the actual coolant level, it is fairly easy to replace.