Does the AT transmission have a filter or do you

the transmission filter is located inside the transmission, when you remove the trans pan the filter is right there held in with 2 or 3 screws/bolts.

The step by step procedure of changing O2 sensor in 2000 Hyundai Sonata GLS can be found in the following link:

http://www.ehow.com/how_7211340_do-sonata-gls-oxygen-sensor_.html

Is the check engine light on?

If you drop the trans oil pan there should be a screen that can come out and be cleaned. Alot of cars do not have an actual "filter" for the trans fluid, just a screen that you can use a "brake cleaner" to clean off and put back when you replace the fluid.

The transmission oil starts breaking down at 30000miles. Most car dealers change the transmission oil and filter at the second scheduled maintenance service at 60000miles. Changing the transmiosion oil is an insurance for the transmission. Make sure to use the specific transmission oil for your car.

The filter for automatic transmisions is in the trans. You take the trans oil pan off while draining the fluid to change. Then once the pan is off you will see the filter, it should be replaced at the same time as changing the fluid.

the yellow stick which is called a dipstick is the engine stick.

There is no band adjustment procedure on the 2001 Sonata. Fluid replacement is no guarantee of repair. First of all, have you checked the TCU (Transmission Control Unit) for any DTC's? (Diagnostic Trouble Codes). Has the "Check Engine" light come on when this problem occurs? If so, find an OBDII scanner and check the system for any trouble codes. It may not be what you suspect... it could simply be a defective fluid temperature sensor or a solenoid which has gone bad - these can be replaced without spending gobs of money.

if its due do it,if the manual booklet recomended,do it pls

Have you tryed to take off the transmission pan that is directly under the transmission ? It has alot of bolts that would look like the oil pan.