Your tx/rx light ''should'' turn red when you transmit and be green all other times. Your ant light should ''not'' light up unless the swr is higher than 3.0; then there is a problem. A common reason for the ant light to light up is that the antenna is not grounded properly.
Check out this [http://www.firestik.com/Meas-SWR.htm|page] from Firestik for more information on swr and cb's.
If your ant light is on when you transmit, stop using the radio and fix the swr. You will ruin the radio.
Good luck and enjoy your cb radio!