First, the "O/D OFF" light on your dash is telling you that it's already off.  Second, there should be a button on your gear shifter (or maybe on the center console) that allows you to turn it on/off at the flip of a switch.

People think of the overdrive as an "additional gear".  Although it's not exactly correct, this "additional gear" allows for fuel savings during long (highway) drives.  You should try it sometime.  You could turn it on and should notice a fuel savings across the span of your trip.