The Check Engine Light (http://repairpal.com/check-engine-light) indicates that there's a problem somewhere in the emissions control system. It's common for a thermostat failure to cause this problem with you car, though the light should not be coming on and going off if the thermostat is dead.
Make sure your fuel cap is on correctly, and if the light does not go off for good, take the car in for a diagnosis.
I don't know specifically where the thermostat is located or how to change it out. You may be able to find that information in the DIY repair section on Autozone's web site.
I wouldn't recommend trying to replace the thermostat yourself to clear up this problem, however. Your car has a trouble code stored that is the reason for the check engine light, and having a technician retrieve the code and properly diagnose the problem will save you a lot of time and trouble.
You should really have the computer scanned for the trouble code(s) stored in memory. That will give you a starting point in your diagnosis
Are you saying the light is flashing when you're driving? A flashing check engine light means there is a misfire severe enough to damage your catalytic converters (very expensive to repair). If it is flashing, avoid driving it if you can to prevent any damage.