A header isn't going to help your performance at all. It takes a lot more than a header to make a civic fast. Without other mods, like an intake, throttle body, bigger exhaust, bigger injectors, (preferably) a new head, nitrous, and a slew of other expensive shit you're just wasting your money.
Anyway, the gasket probably won't fit because the collector on the header is bigger than your exhaust pipe. If not, the stock gasket should work and you did something wrong.
As far as the O2 sensor goes, use a breaker bar (if you have one) and a cheater pipe. Lefty loosy, righty tighty. Put the pipe in a vice if you have one. If not, have someone hold it. If that fails you'll have to buy another one.
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