Pulled codes - now CEL is on???

[DZEE'S LX]

My idle has been a little more rougher than usual and the idle is surging a bit. Usually if I reset the computer things get better. This time the reset didn't do too much. So I thought I would check for codes. I have an EEC-IV reader that I used on my Ranger but I have never used it for the Stang.
So the code reader will initiate the KOEO testing but it would not return any codes. It is supposed to give me a 111 if there are no codes but I get nothing. The book says to check for bad connections and make sure the batteries are good in the tester. It also says that if the ground connector (the single pin) isn't grounded well enough that you should ground the connector to negative. Tried it but that doesn't help.

Now I notice that my check engine light is on even after the code reader is disconnected. The CEL goes out while the KOEO testing is running but as soon as I turn the ignition off and then back on the light comes on again.

What's up with this? I've never even had the CEL come on in my 8 yrs owning this car.