There are two things I know of that cause that signal:
1. The signal you are hovering over is the last signal on that track or the next signal is too far away.
2. The signal is followed by an open junction. (aka the track that the signal is on is not the track a train would end up on if it went through the junction without changing it.)
Note that 2 also means that when looking ahead for more signals it only checks the track accessible without changing any junctions. (If you change junctions manually, in Surveyor or Driver, it may cause signals to change.)
In places where the track actually ends, (yards for example) there are rail end signal objects you can place there. I use one called prellbock. I'm not sure what ones are included in TS2009 but I downloaded mine from VMD before finding out there were others (some almost identical) included in TS2010. For sections of track that would continue on beyond your layout you could use an invisible signal. Portals are also used a lot at those locations.
