The three plugs on the right of the block are in the coolant flow and are there to make it warm up faster.
There is a glow plug in each cylinder, looking a bit like a spark plug does on a petrol engine, but a lot slimmer. I've never had one fail on me, but I believe they go open-circuit so a simple continuity test should do.
The advice given upthread is good, replace all the plugs if one has failed, the other three are likely to be on their last legs too. If the warning light returns, replace the wiring harness that connects them.
From many reports on the forum, it seems that since they are rarely disturbed, they can be quite difficult to loosen off, and being relatively fragile are easier to break than spark plugs. I think that a good socket, built like a spark plug socket, is probably the best tool to use.
