I have a 2004 Mecury Mountaineer. Check engine light came on. Autozone said it's egregious valve. Should I change out this part or take one I have off and clean it and put back on?

First off, Autozone employees are retail clerks - not Automotive Technicians. You can try replacing the EGR valve and see what happens but - those codes are indicators of a concern within the system - not "change this part" codes.

The AZ guy would have had to pull the trouble code from the car's diagnostic system. As Tracy said, the codes tell you where to look and typically do not identify a specific component to replace. However, it is the right place to start. Find out what code the car is generating and then do a little research on what component failures will cause the code to be triggered. Then start replacing parts. An EGR valve is a replace, not repair item. Not expensive or hard to replace but check out the other potential components as well. It could be an oxygen sensor, a PCV Valve, or many other individually minor items. If you are uncomfortable with this, take it to a reliable shop and let them diagnose and repair the problem.