Yes - the ECU is setting a code because it's getting an invalid reading from the oxygen sensor (or more correctly, because the oxygen sensor isn't there since you installed the test pipe). You need to fool the ECU into thinking the sensor is there, and that it's giving a correct reading.

If the sensor is just a variable resistance pull-up/pull-down, you can trick the ECU easily by simply inserting a proper resistance in place of the sensor. Unfortunately, I believe the exhaust gas O2 sensor may be a voltage generator-type circuit (it is on many other cars). This is pretty hard to 'simulate'. Maybe someone else can confirm/deny? Try a search on CEL eliminator or MIL eliminator or something like that too.