im sure this is stupid, but you do have the remote for it and stuff right? i only ask because my 97 GT flashes the theft light when i turn the car on too and it also goes out with the rest of the lights, but the car didnt come with a remote (or theft/keyless entry system that im aware of). its my understanding (im not sure though) that these cars were all wired for the system, but depended if the option was ordered from the factory or not? i guess that would explain the light going on and then off even on cars without the option. not sure, sorry i cant help
