I wondered if you were referring to an icon that might appear on the Status Bar -- usually the bar at the bottom of a program. I had a kind of feeling that maybe a program that I had used in the past would have such an icon on that Status Bar.
So I tried out 3 Word Processors: M$Word 2003, Open Office Write (most recent version -- a great Free Office Suite), and Atlantis Word Processor (most recent version). I was unable to see such an icon for Caps Lock. There is, though, a toggle for Ins(sert) and Overwrite.
However, as you do not have a light on your keyboard, you may find this hint from Worldstart.com to be useful. An excellent tip to let you know when you may have inaDVERTENTLy turned on the cAPS lOCK kEY.
Check it out HERE
I hope that helps.