There was a guide on here on how to reset it but I think all of the pic links are broken/old.
Did you do anything to make it stay on? Is the stock steering wheel fitted?
Mine has always been on since I bought the car with a Momo Tuner steering wheel on it (which I love).
BTW A bit off topic but mrbd103: What kind of friggin steering wheel was on that car that he wanted $500 for!!??