If you follow the directions in Joel's link, you can omit the test light and volt- meter, and instead, watch the CEL for code flashes. Connect the jumper wire from STI to SIG RTN, get in the car, turn the key to "run". You'll hear a few clicks, and the fuel pump will prime another time, and it should start flashing the codes shortly. You'll get KOEOs, they'll repeat, then a single flash, then the Constant Memory codes, which will also repeat. Then you start the motor and wait for the KOERs.
Make sure you follow the directions for the scanner. It might have to wait for the slow-flash sequence, to read the codes.
Make sure that the car is in neutral, and that the motor is warmed up. You can also try holding the clutch pedal to the floor, before you turn the key, to scan, and throughout the scan.
.Don't change your O2s until you're sure everything else is ok.