STOP!!! dont change it yet!! :-D I just tried looking up that code and everything that I saw said that a 33 was in fact the air conditioning clutch relay, not the O2 which is a 21. [addsig]
Did you clear the trouble codes after you changed the O2 sensor? If not, then it is
probably an old code. Disconnect the batter for 30 sec, or disconnect the computer.
Whichever is easier. Then check the codes again.