Did you not put the STi one in the Sport in the first place?
Anyway, if its an STi one of the same version with the same type connectors, make sure you do everything with the battery off and for maybe half an hour before.
That way you can hopefully avoid the light showing up again.

 

Oh right to fit it.
Not done one it the subaru, but the same in most cars:

There will be two bolts holding the airbag on, probably a tourque or allen key head. They are easy to see when you turn the wheel. Remove them first, disconnect airbag and undo the main bolt in the cente of the wheel. Make sure the wheels are straight so the new wheel is not wonky.

 

yep

 

I fitted a Momo one to my MY97 wagon and was outside the car hiding behind the A post for most of the job in case it exploded on me.
Just make sure battery disconnected as above.

 

If you look on the back of the wheel there should be a small hole each side and the torx bits are there