Bulb Failure Lights

[JaneBain]

Hope this is not a silly question
I have just got a 2002 VW Sharan - whenever I start up the bulb failure light comes on, it goes off when I press the brake pedal.
The garage I bought the car from tells me that that means everything is working ok, but when I read the manual I take the impression that this means there is a bulb out somewhere (I've checked and there isn't) but that pressing the brake will stop the warning displaying.
Can anyone tell me what is the correct diagnosis?

Ta

Jane