I bought a 2001 impala 10 wks ago- yesterday check engine light came on. I took it back to the dealer they hooked it up to a machine that gave a p1404code and said that it needs a new o2 sensor. I went to autozone to get a price quote on the part and he hooked it up and said I need to take it to a mechanic and get it checked out because it's not an o2 sensor. Any ideas?

A p1404 indicates a problem with EGR valve or it's circuit. I don't have a manual on your car so I can't help you troubleshoot this, but you can buy a Haynes manual ($17) at any parts store and it will give you step by step instructions on how to test or replace the neccessary items.