there are a few possibilities including the possibility that there is a problem in the connector that the scan tool is hooked up to.
the first thing to do is to disconnect both of the battery cables from the battery. Then hold both of the disconnected cable ends together for at least 3 minutes. be sure you have good contact on both cable ends. that will remove any stored electrical charges in the system that might cause the light to go on for 'no reason'. after three minutes you can put the cables back on the battery and thghten them.
then, turn the ignition switch to the ON position (do not start the engine). watch the check engine light. it should stay on for at least 20 seconds. if it does, then you should be able to start the car and drive it and if the light stays on you should be able to retrieve a diagnostic trouble code with a scan tool. if you can't get a code at that point you either have a problem with the connector that the scan tool is being pluged into or a probale with a short in the light circuit that is putting the light on.
if the check engine light doesn't stay on for 20 seconds when you turn the ignition to ON then the problem is a loose fuse in the fuse box or loose connectors .
try this first. if the light is still on and the parts store can't get a code then put another post out and ask again.
hope that helps