Are you referring to the 'Lambda Sond' light? That's on a mileage conter that's hooked to the back of the speedo. There is a reset button for it, but you're best off removing that secondary cable from the speedo (it can jam and break your odometer.) Then just reset or remove the bulb for that light.

The O2 sensor is important, but that light comes on every so many thousands of miles as a reminder to check the system. If you keep up with maintenance and monitor how well your car runs (power and mileage), and keep track of how long the sensor has been in there, you won't need that reminder light. Symptoms of a bad/failing O2 sensor vary from poor throttle response and power, to rich or lean running. You can check the O2 sensor with a voltmeter to see what it's doing.