p0135 code, bad sensor?

My check engine light came on so I went Autozone to get the error code and it was p0135 which they said was a bad o2 sensor. It looked easy enough to replace myself so I did with one I got at AutoZone. I disconnected/reconnected the battery after replacing and then drove the car. Light came back on. Back to AutoZone and the guy said he has seen this happen many many times on Fords and recommended I get the sensor from Ford. He said when I go to Ford they ask for a calibration code or VIN # so that they can give me the correct sensor and this has worked for his other customers. So I called Ford to price the sensor and sure enough they ask me for the calibration code or VIN #. My question is do you think this is valid and the Windstar needs "an exact match" for the sensor or might it be something else. Any recommendations would be appreciated.

Thanks, Jeff