What's the difference between a red, amber and green warning light?

Dashboard warning lights follow a rough colour convention, similar to traffic lights: red generally means something urgent - stop and check as soon as it's safe to do so (oil pressure, brakes and coolant temperature lights are usually red). Amber or orange generally means something worth getting looked at soon, but not necessarily an immediate stop (engine management and tyre pressure lights are usually amber). Green or blue is purely informational - it just means something is switched on, like indicators, headlights or cruise control, and nothing is wrong.

This convention is a genuinely useful rule of thumb, but it isn't absolute: the exact severity of a specific light can vary by manufacturer, so it's worth checking the handbook for what a given light means on your exact car rather than assuming from colour alone.