Saying that it has no codes, but is running lean on banks 1 and 2 does not make sense. They are telling you 2 opposite things.
They would get codes, or not get codes.
Lean on bank1 is a code P0171
and lean on bank 2 is another code P0174
The oxygen sensors are often replaced on the advise of auto part store clerks with code readers in their hand. They really don't fail that often.
The most likely cause of the failure that you describe is a vaccum leak.
I could make this message long.....but I would suggest that you do a search in this forum on "vaccum"
If your windstar is 1998 or or older, I would check the PCV vaccum line that goes from the top of the upper intake manifold.....next to the trottle body......and follow it back to the PCV valve. Make sure that it is intact....and snug on the PCV valve. The elbow in the line that is right on top of the upper intake manifold can develop a crack on the inside of the elbow. Also look for any vaccum line that might have been bumped loose.
If your windstar is 1999 or newer.... visit this link for really great information on a TSB that ONLY applies to 1999 and newer windstars
http://www.trademotion.com/partlocat...?siteid=214072
If you go back to Autozone to have the codes read.....get the actual numeric code from them. They usually don't give it to you unless you ask....as it means nothing unless one looks it up in a list of OBDII codes.
You can post back here with the code....and also do a search in this forum on the code and you will find out what likely causes of that failure will be on a windstar around your year.