If the DPF warning light comes on you will need to start the regeneration process. This can be done by driving at 2500 RPM for more than 20 minutes, or according to the manufacturers recommendations (as explained in the manufacturers service handbook).

If you continue to drive the car and ignore the warning light the filter will continue to fill with soot and around 70%+full the engine management light and the glow plug light will start flashing and sometimes the vehicle will go into limp mode causing a lack of power. When the DPF reaches 90% full it will need replacing.