you should have 2 warning lights on your speedo...1 green (oil pressure) & 1 red (charging). if you turn the key on with the engine off (something i do before every start, just as a saftey measure to confirm the lights are working), they should both light up.
i'm going to guess the yellow light you see is a faded green (oil pressure) light.
what type of oil are you using? when was the last time you changed it? at what rpm does the motor idle at? do you have any sort of oil pressure gauge (in the car or out) to measure oil pressure?