Oxygen Sensor

My check engine light came on and I had auto zone check it. Code came back as the Oxygen Sensor so I replaced it. I figured my check engine light would go off but it didn't. Do I have to reset the computer with one of those code readers to get it to go off? The guy at the counter talked me into some of the anit seize which is supposed to keep the sensor from welding itself to the threaded exhaust pipe. If some of that got on the sensor would it affect it? Any help would be greatly recieved and appreciated.

Thanks