Pull Code 15!!!
 

Okay,
I pull a code 15, looked it up and it's Oxyegen Sensor. (O2 sensor)
I then went and bought one from Autozone for $20.00 bucks...
It was the universal kind... Put it on and reset the ecu.. Pull code again and there wasnt any code error. But when driving on the freeway again check engine light comes back on. AGain pulled code 15.... I'm confused now. Is the O2 sensor bad. Or is it connector..??

I had similar issues, its most likely the connection. If you have it connected well i would say something is wrong with the sensor itself

Yeah,
I have it cuted and connected to the wires. Maybe because of all the wires being cut from the A/F guage being connected to the O2 Sensor wires might be wrong..

Sorry to get off topic;
The instrument you use to check engine codes, what is it called and where can I purchase one.

Beside the battery is a little black box with the word "diagnosis" engraved on it. With the car turned off, open this box and bridge the terminals named "TEN" and "GND" ( i think the terminals are labeled under the cover of this box) with some wire.

Turn the car to the start position (do not start the car) and the check engine light should start flashing. Long flashes = 10 and short flashes = 1. Count the number of flashes and then refer to the shop manual in section F to reveal your magic code!


http://www.scuderiaciriani.com/rx7/engine_codes.html

Is there a way to make the check engine light turn off?

That's the first thing that went through my mind. If you used crimp-on splice connector, be sure the splicing "pinch-blade" didn't cut through the stock wire.

I've seen these things wear through the original line over time, due to vibration and not strain-reliefing the tap wire.