My 06 ford explorer has a check engine light and a code comes up P0401 SO I CHANGED THE EGR VALVE BUT THE CHECK ENGINE LIGHT HAS COME BACK ON AFTER IT WAS CLEARED WHAT OS THE PROBLEM WITH IT

Possible causes EGR passage clogged Faulty EGR Vacuum Modulator Valve Faulty EGR Valve Faulty EGR solenoid valve EGR solenoid valve harness is open or shorted EGR solenoid valve circuit poor electrical connection Dead (Weak) battery Faulty EGR temperature sensor and circuit Exhaust gas leaks AutoZone doesn't employ any automobile diagnostic technicians!

NO, Autozone hasn't got a clue what that code means,they just talked you into buying a part which is what they do,they sell parts! P0401 means insufficient flow is detected,although the EGR Valve is only ONE of the "possible causes" https://www.engine-codes.com/p0401_ford.html