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I always leave my HVAC system set on the automatic mode. As I recall, that's the button right below the radio volume control. Then I set the temperature I want and that's it.
In the automatic mode, the recirulation light only comes on when the car interior is hot and the computer decides it's temporarily advisible to recirculate air.
It sounds like you are not in the automatic mode, and you have pressed the recirulation button. If you were to press it off, in the manual mode, it should go off.
If you were to press a button like recirculation when in the automatic mode, the system would revert to the manual mode.