No problem. The immobiliser warning light is the right light on the dashboard showing that the code on the key is the right one...usually it gets off a few seconds after the car is started. I don't know if it exists on the S60 model.
Hate to say this, but if the immobiliser light remains lit for more than 3 seconds after the engine is started then you've probably got a fault in the immobiliser system. Main dealer may be the only option I am afraid.