The check fuel cap indicator is used to indicate significant leaks in the fuel tank evaporative system. The tank pressure is monitored by the PCM and if a leak is detected, it signals a messages and a fault. After the fault (leak) remains after a number of ignition switch cycles, you get an engine light because the leak was not repaired or you have a bad sensor.
Some auto part stores will plug-in a scan tool into the OBD II connection above your brake pedal and read the code to locate what the problem is. The scan tool can reset the engine light, but if the light comes back on, you will need a repair. Did you buy a stock fuel cap from Ford or an after market one?
I drive with a Scangauge II to monitor my driving and MPG and it also reads trouble codes and can reset a warning light. It plugs-in to the OBD II connection also, but I keep it there all the time to monitor most of all the readings from the PCM. See scangauge.com for more information and price.
A few years ago I had a warning light and took my Explorer in to a dealer for a scan. They told me it was this valve that needed replacing for a total charge of about $350. I bought the valve and told them I'd do the change myself. Picked up the Explorer and the light was out. I waited for the light to come back on and it didn't. Took the $55 valve back for a refund and never had the problem anymore. I think I had a vac. hose lose and they stuck it back on.
Your cheapest way to solve your problem is to call around to some of the major auto parts stores and ask if they provide free scan tool readings and warning light resets. Other than that, take it to the dealer and they will scan your PCM for about $100. | 
