Take the appropriate action and verify that the warning light turns off.

Taking Action
Message Indicated on DisplayMazda 6 Owners Manual: Direct Mode
Direct mode can be used for temporarily switching gears by operating the steering
shift switch while the vehicle is being driven with the selector lever in the D
range.
While in direct mode, the D and M indication illuminate and the gear position
in use is illuminated. Direct mode is canceled ...
Mazda 6 Owners Manual: Manual Shift Mode
The manual shift mode gives you the feel of driving a manual transaxle vehicle
by allowing you to operate the selector lever manually. This allows you to control
engine rpm and torque to the drive wheels much like a manual transaxle when more
control is desired.
To change to manual shift mode ...