Just installed new air filter for Tiburon 01

[undergrounddlz]

Today some friends told me that I could get a different air filter and it would be more powerful, and sound different ect. So we went to O'Reilly's Auto Parts and I bought 1 50$ air filter, they installed it for me, and took the air filter apart, and installed this new one, its a cone air filter, one of the smaller ones. They didnt plug the "sensor" cable back in because we had to take it apart and it wouldn't plug back in, do I need that sensor plugged in? Its the one to the left of the air filter when you are looking at it from the front of the car. Will that make the check engine light come on? I was having other problems so I don't know if this is what made it come on. They said it wasn't the sensor for the temp that shows up on my dash but I don't know, he said something like its the O2 sensor...

thanks