Many times light comes on then off. How fast depends how bad the problem that ECM sees.
Only a few things keep the light on all the time.
Use a small clip etc.
You need to jump as said above but do not use force a big wire in and damage the plug or when use a scan tool that won't connect in a wreck plug.
Warning: Even if has a "Code" often does not mean X sensor is bad.
Example: 44 or 45 can be several problems and not a "dead" O2 sensor.
------------------
Dr. Ian Malcolm: Yeah, but your scientists were so preoccupied with whether or not they could, they didn't stop to think if they should.
(Jurassic Park)
The Ogre's Fiero Cave