A blown head gasket shouldn't kill oil pressure...somebody correct me if I'm wrong. Anyway...if it is then you should be getting oil in your radiator.
Where's the oil pump in these things - somewhere near the oil filter? Check around there for problems...is the oil filter still screwed on firmly (don't try to tighten it - just see if it's firm)? Is there oil coming from around the oil filter at all?
To give you a background on how this works...like I said, the oil lamp indicator normally comes on if oil pressure is low. Oil is usually drawn from the sump via an intake pipe straight to the oil pump (often set into the block and driven by the crankshaft or some such). Oil proceeds from the pump, through the oil filter, past the sender unit (makes your little oil lamp go), and then throughout the rest of the block (through various channels). The oil passes a pressure relief valve, which releases some oil back into the sump if, say, revs are high. So you see, if the pump fails, or if the pressure relief valve fails, or if the oil filter has problems, or the sender unit is faulty - any of these (and lots of other things) can cause the oil lamp to come on. The fact that there is actually oil leaking from the engine (this doesn't have to happen when you get low oil pressure) might point to the sender unit as implied by XmFoRd...
I think that perhaps you should get a mech to look at it.