Check engine light question

i went to advance auto parts today, and the guy said that there's no way to check it with their little machine. my car's a 99 jetta mk3. there should be a way to be able to check it. shouldnt there be?

ok, i found out where the plug was on my car and i went and got the diagnostics at advance auto. the receipt says:

P0411
Secondary Air
Injection System
Incorrect Flow

should i just replace the air filter? i would assume that would fix the problem right??

SAI has very little to do with the air filter. It's an emmisions system that activates on cold engine startup. It can be difficult to diagnose. Check under the hoos to see if you hear a small electric motor that sounds like an electric fan when the engine is first started cold? Make sure the A/C & defroster are off.