The "CHECK EGR" light is controlled by the odometer. It is NOT a indicator of any problem with the ERG system but a reminder to have the ERG system checked. There is a reset switch on the back of the instrument cluster to reset the light. If you remove the top cover of the instrument cluster by pulling up on the cover it it should pop off.

The find the reset switch and slide it to the opposite side that it is currently on and you should be good to go. If you seach this forum for "egr check light reset" you will find a more detailed description if you have a problem locationing the switch.
Also this forum is a one of the best sources of information and help for you Montero on the web.
hope this helps...
good luck