If your Check Engine Light (CEL) goes on, in most areas*, you can go to any Auto Parts Store and ask to borrow their ODB-II scanner. They will either let you borrow the scanner (sometimes they require collateral) or they will go out to the car with you to read the codes. Back inside they will print out the list of codes.
Take these codes and search for them on ClubWRX, NASIOC or your favorite search engine. If you can't find the solution on one site, try another, then another. If you still cannot find the answer make a post in the General Maintenance Troubleshooting forum.
*In California, due to "legal reasons", Auto Parts stores like Autozone and Schucks will not scan your car.
Autozone B.S., in california? - E46Fanatics
Call around to find a place that will read the codes for free and give you a print out with no obligation.
Another option is to buy an ODB-II scanner. Then you can check codes whenever you need, not just during business hours.
Prices range between $40 to $150+
Harbor Freight Tools
obd ii scanner, great deals on eBay Motors, Computers Networking on eBay!
Amazon.com: odbii scanner
Did you recently add a new mod? If so please also read this thread
Yes, you need an EM for engine mods