what are you driving?
if you have an 04+ wrx or 04+ sti you absolutely must get a tune for an aftermarket downpipe. typically depending on what kind of tune you get, it will clear out the check engine light.
i'm only assuming that's what the CEL is for though, since it came on after you swapped out the exhaust.
the best thing to do though is get the code check and let us know what it is.