Yes, the CEL should come on with the key.
If bulb is good then could be a wiring issue between dash and computer.
This info is from a 2005 Ranger
There are 2 connectors on the dash, "A"(C220A) and "B"(C220B), B14 is the signal wire for the CEL, it goes to Pin 2 on the PCM(computer)
Pink/light Green wire
If you turn the key on this wire should get voltage from PCM
You can get a Bluetooth OBD2 reader for about $35, it is wireless and works with a Smartphone as the display, or laptop/tablet with Bluetooth, it also does real time data which comes in handy when diagnosing a problem.
OBD2 readers work on any vehicle sold in North America 1995 and up, so worth while to have around