Did you actually check for codes? Very few stored diagnostic errors cause the check engine light to light up and stay lit.
As for air filters... If it's anything like the HKS then congrats, you've just bought a box of hype!
Do research, buy smart fix less... The only two aftermarket air filters I trust to run in my car are Apex'i Power Intake and AEM's DryFlow.
http://www.mkiv.com/techarticles/filters_test/2/
http://www.duramax-diesel.com/spicer/index.htm
http://www.bobistheoilguy.com/airfilter/airtest1.htm
http://www.supramania.com/forums/showthread.php?t=50900
I don't know how that filter compares and I am biased.