The oil pressure warning light (an oil can symbol) comes on when the engine's oil pressure drops below a safe level. This is different from a separate "oil level low" warning some cars have - pressure and level are two different things, and a pressure warning is the more serious of the two.
Low oil pressure means the engine isn't being lubricated properly, and that can cause serious, expensive damage very quickly if you keep driving on it.
The general advice is to stop as soon as it's safe to do so, turn the engine off, and check the oil level before considering restarting - rather than continuing the journey and hoping it settles down.