Although what Willy suggests will work, it will also force the neutral light to be on at all times.
There is supposed to be a clutch switch at the clutch perch on the handlebars. WHen you pull the clutch, this switch tells the CDI and should allow you to start while in gear. Perhaps your bike has an aftermarket clutch perch without the switch?
Regardless, this switch has two wires that lead down to a pair of bullet connectors - black/yellow stripe and black wires. If the switch is there, they will be plugged into like colored wires. If the switch isn't there, the harness wires of that color will be floating free - somewhere behind the radiator, near the frame.
Find these and if not connected, just plug them (the harness black/yellow and black) into each other. This will fool the CDI into thinking the clutch is pulled and allow you to start in gear. If they are plugged into the switch wires, then the switch is bad or mis-adjusted...