You shouldnt, but that doesnt mean you wont, When I put mine on it threw the CE Light, I just replaced the O2's and it went away, but most dont have any problems.
96 and up mustangs will get check engine lights because they have a second set of 02 sensors at the back that are there to make sure that the catalitic converters are doing their job. If they are not or if they are gone(o/r x pipe) they will cause a check engine light. Us 95s are (thank god) OBD I which means we only have one set of 02 sensors before the cats that are for closed loop driving. SO we dont have to worry. Any check engine lights on our cars would only be caused by a messed up sensor.