High Wing - Tin. had the answer.
The only thing you know for sure is that the light isn't on. The gear may be down, locked and happy - could be the bulb/lamp (*delete as appropriate for your own country) or any one of numerous things that kick you into trouble shooting.
Student in a PA44 saw two greens, immediately went for circuit breakers to check "all in". When advised that they don't have INDIVIDUAL breakers (per wheel) he then immediately assumed that the gear was locked up. No other option. Lamp not lit must equal gear not down.
Was just a loose bulb/lamp. Anybody remember Eastern Airlines flight 401?
Pilotwolf - ABSOLUTELY the instructors fault - IMHO. (I was waiting for somebody to point it out - you win the first prize).
Genghis - also agree 100% (though MOST of the US schools make the students buy their own copy of the Pilot Information Handbook [unnoficial copy of POH]).