I'm not an expert, but a loose or faulty gas cap will cause the Check Engine light to go on. The computer senses the loss in vacuum in the fuel tank system. Such a loss will allow hydrocarbon emissions into the air, a pollution problem. Make sure the cap is tightened on correctly. My wife has incorrectly tightened it several times (kind of off-set the threads), and the light went on. I don't like to have the light on, so I had to disconnect the battery for a few hours to reset the computer. If you have a code reader, you can reset it with that so you don't lose radio station presets, etc.

It is also possible that your gas cap is faulty, though more of a chance it is just not screwed on correctly.