Roxanne is a prostitute. There are many cultures and cities of the world that have used red lights throughout history and even now, to advertise prostitution. This is where we get the term "red-light district". The lyrics "Put on the red light" is a reference to this. Sting sings the part of the young man who has fallen in love with this prostitute, and he is pleading with her to give the lifestyle up. He says the hooker lifestyle is wrong, and she doesn't need to demean herself anymore. He wants to take her away from all this, and wants her all to himself. Hence, "I won't share you with another boy"
This song has parallels for anyone who has been in love with someone who might not be a literal whore, but is letting themselves be used and abused by life and/or others.
