The mongoose silencer (around the drivers seat sort of area on the underside of the car, where the CAT used to be), should have a "hole" in which the sensor can be plugged back in. Check whether it's come out or not.
If not, i recommend you post the message up on the GTI-R yahoo group (or i could do it on your behalf). This is the technical list for GTI-R's, and plenty of people will be able to provide you with the answer.
I had a word with me mate and he said he thought it was a llamda sensor but it could be Temperature as either would give the ECU the sort of information it needed. If you have left it off or it has got damaged then the light may be on as there is no input coming from it.
I have always heard peoplle refer to the sensor on the cat as the Llamda sensor though although I am quite frequently wrong !!
let us know what the outcome is on the Yahoo group Daz.
firstly the cat sensor is a temp sensor . you really should run this as it is needed for the ecu . second get nissan to read the fault code on the car . ian at hiteq wigan can also do this as he is a nissan engineer not to be confused with a spanner monkey