AN MD80 CREW; ON APCH TO MCI; UNABLE TO CONFIRM ALL GEAR DOWN AND LOCKED; EXECUTED A GAR.

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POSSIBLE ALT VIOLATION. ON MAY/THU/02; WHILE OPERATING FLT XXXX FROM DFW TO MCI; I WAS HAND FLYING THE ILS RWY 19R IN IMC. DUE TO A BAD LNDG GEAR INDICATION; INSIDE THE MARKER (1800-2000 FT MSL); WE EXECUTED A MISSED APCH. THE MISSED APCH ALT WAS 4000 FT. AT APPROX 2600 FT MSL; CLBING GREATER THAN 3000 FPM; ATC TOLD US TO MAINTAIN 3000 FT. I WAS UNABLE TO LEVEL THE ACFT. WE WENT TO 3500 FT BEFORE I WAS ABLE TO START A DSCNT TO 3000 FT. AT THE MARKER; WE CONFIGURED AND NOTICED THAT WE ONLY HAD 2 GREEN. THE CAPT RECYCLED THE GEAR AND I TESTED THE LIGHTS. THEY WERE BURNED OUT. WE EXECUTED A MISSED APCH; NOTIFIED ATC; AND DURING THE GAR ATC TOLD US TO LEVEL AT 3000 FT; NOT THE PUBLISHED 4000 FT. HUMAN FACTORS: DURING THE DSCNT WE SHOULD HAVE BEEN MORE CLR/SPECIFIC ABOUT OUR CONCERNS FOR TRANSITIONING FOR ARR TO APCH. I DON'T REMEMBER GETTING TOLD THAT WE WERE ON VECTORS FOR ILS RWY 19R. I THINK IT WAS GOOD THAT WE DIDN'T FOCUS TOO LONG ON THE RED FLICKERING LNDG GEAR LIGHTS. WE WERE ABLE TO RESET AND BRIEF THE ILS RWY 19R; BUT WERE RUSHED. I DON'T THINK ATC TURNED ON THE ILS WHEN THEY CHANGED THE APCH FROM ILS RWY 9 TO ILS RWY 19R; NOR DID THEY SAY THE ATIS HAD CHANGED TO REFLECT THE CHANGE. TOO MANY DISTRS PRIOR TO THE MISSED APCH; AND HAND FLYING WAS A PROB.