Hiya Howie, with these you have to reset the computer to tell it you've changed the oil. There are a number of ways depending on the motor etc you've got.
Try the key in the 'on' position and the car off, press the trip reset in for 10-12 seconds. The change oil will then flash. Then see if it's worked.
Alterantively, there's a reset button located near the in-car fuses on some models.
Key 'on' car off, press once, release, then press again for 10 seconds.
Some say that you should turn on the ignition, but not start the car & then stab the throttle to the floor a number of times inside a 5 second period & that should also reset things, but I dunno if that's a myth or not
Failing that, you have a sensor in your oil pan that goes off if oil is below it. It could be a sensor problem, hth cheers........Nige