Are you using the competition template?
If so, this is expected behavior. The program only runs when connected to the VEXnet controller. To run autonomous mode, use a competition switch. The game light only is on when you're connected to a competition switch and enabled (IIRC).
If you're not using the competition template, and you want to run your program without being connected:
Try setting the program to run in autonomous mode:
See documentation for this variable here:http://www.robotc.net/wiki/VEX2_Functio ... on_Control
I haven't done much (strictly) autonomous programming with my VEX system in quite a while. The last time I did so was using a PIC (not a Cortex), so the variable I pointed to could be old. Still, it's worth a shot...