You replaced it in what? Make, year, model, engine?

 Quick guess, it's a manifold air pressure sender that goes after the
air filter but BEFORE the throttle plate and the mass airflow sensor.
The computer can tell it's not hooked up because it isn't seeing the
pressure change at all as you rev the engine.  It probably wants to
confirm the MAF Sensor readings by comparing pressure before and
after, and sense the filter restriction so it can pop the Check Engine
light if the filter gets really clogged.

 When you find out for sure, try to duplicate it's mounting with the
modified air filter setup - either mount it next to the open filter
with the hole open to the atmosphere, or drill a hole and put it in
the side of the incoming air tube if it was "after" the filter element
in the old airbox.  When it gets the right signals that should make
the computer happy, and the light will clear.

     --<< Bruce >>--

I believe you are referring to the Intake Air Temperature sensor.... just a
little guy, plastic body, what looks like a filament or a flat topped cone
at the end opposite to the two wire connector... (I recall seeing two styles
of sensor and I'm not sure which would be fitted to your car).

The PCM strategy uses IAT in fuel computations..... With the CEL on, the car
is not entering closed loop operation and the fuel is being delivered at a
default value (not a good deal with todays gas prices) rather than having O2
feedback for adjusting fuel delivery.

I assume your cone filter is one of those oiled elements.... not my first
choice, whether it sounds good or not. And the replacement must be well
thought out to lack provisions for this sensor (read that as I think they're
junk.... but I am not here to rain on your parade)...

The IAT should be mounted where it can measure the temperature of the air
entering the air cleaner....