ESP stands for "Electronic Stability Program". If the ESP light on a Mercedes Benz stays on, try holding the ESP button down for a few seconds. If holding ESP down for a few seconds doesn't reset the program, it's time to head to your local Mercedes dealership for a repair. More likely than not, there is some sort of error with the steering mechanism which causes the ESP light to remain on. You don't have to be alarmed but it's best to get it checked out as soon as you're able to. Most Mercedes have a four year, fifty thousand mile warranty which is, literally, bumper to bumper except for maintenance service. But if the ESP light stays on, this will almost certainly be covered.
If your car goes into a spin and the ESP light does not come on, it's time to see that repair shop too. Your Mercedes electronic stability program is not working properly if the car does not take control when a spin is detected.