98 sw1 em. brake light stays on

i recently bought this car, the check engine light is on, which i guess is the o2 sensor, but the brake light also stays on. I pulled up the center console and i, thought the switch under the brake handle was it, but i found that only turns off the daytime running lights when the brake is pulled. The brake feels right, but do i need to tighten or loosen the cable at the handle? Also, where is the o2 sensor and egr so that i can replace and clean them.

Don't just go randomly replacing parts. That SES light could mean any of a hundred different things.

Have the codes read before you waste your money.

+1. Get the SES Codes. Autozone /advanced auto can give them to you for free

i got the code read at autozone, it's the egr valve, i plan on taking it out and cleaning it first, can the egr cause the engine to idle a little rough and cause high idlling rpm's sometimes, if that doesn't fix the rough idle i was thinking of checking/changing the top left engine mount, where are the other engine mounts located?

Clean your EGR. Rough idle is usually associated with a dirty EGR.
Replacing the top mount will definitely smooth out your ride. There are four mounts holding the engine/tranny in place