Hi, echaocn, and welcome to the forum. Please take a moment to complete your online profile re: vehicle and location.
You posted in the general forum, which is okay, but since you drive a W210 there is a forum specific to that model, which coincidentally is the W210 forum. If you scroll down the main page you'll see it listed. Whenever you have a question or concern related to your E that's probably going to get you better info than posting in the general forum.
That said, while you can go to an MB dealer and pay them a boot full of cash to download your codes and diagnose them for you, you could instead buy a code reader and own it for much less than they will charge you for this single instance. If you have a Harbor Freight in your area they have one for $40 that comes with a CD relating to codes. Or you can get one other places for under $100. Following the directions you'll get one or more codes and then you can google them or search this site for them, or post up in the W210 forum where the other folks will help you. Personally I think if you own a late-model benz you should own a code reader. These engines are very refined and meeting ULEV standards they have a narrow range within which they're "happy". Meaning, of course, that they have a greater tendency to throw codes than do non ULEV and more basically-engineered vehicles. If you run to the dealer every time you get a CEL, you'll be broke and unhappy and dissatisfied. On the other hand if you feel really badly for your MB dealer, that he only has a cabin-cruiser and the BMW dealer has a yacht, well, run on down there.
Honestly, and with all due respect to ctbenztech, I hear as much bad stuff about MB dealers and their code diagnostics as anyplace else, which of course means it's not the dealer, but the tech. With the combined experience in the W210 forum you're as likely to get to the bottom of it by posting the actual codes as you are heading into the dealer. The big difference is you won't have to pay us for helping you out.
Of course, if for some reason you don't want to purchase a code reader, head back to Auto Zone and go out to your car with the kid, and write down the codes that it actually comes up with (again, bring them back here and search, post in the W210 or google them, don't just take the AZ guy's word for it). There are four O2 sensors on your car and unless you're good with wiring (so you can buy the generic ones) you'll have to purchase the OEM type, probably around $350 to $400 at discount online prices for all four. Some folks are of a mind that if one is going, I'm just going to replace all four, that's something you'll have to determine for yourself. Depending on mileage I would probably just replace whichever one(s) is(are) related to the specific code(s). (In deference to Ruudje, I believe Bosch actually recommends a 100,000 mile replacement on the newer engines...) And again, with respect to ctbenztech, in my mostly-anecdotal experience it's rare that a single
O2 code results from a MAF; the MAF codes are quite specific (left and right fuel trim together, not just one of them; I don't recall the "P" codes off the top of my head) and personally I wouldn't go replacing a MAF sensor if I had a specific O2 sensor code. As ctbenztech notes, getting to the bottom line of a diagnosis can sometimes be a bit tricky, but in my experience, if it walks like a duck and quacks like a duck, it's usually a duck. No reason to look for squirrels initially.
Last thought: The nature of these ULEV engines is that they are pretty sensitive, even bad gas can occasionally trigger codes that go away on their own, and they could be MAF or O2 or (single) fuel trim or... Point being that a single blip of the light doesn't necessarily mean you actually have a part that has failed. And if it's back in range with the light out, you can comfortably drive it around as usual. If it blips more and stays on longer, then you know you very probably have an issue, if not, it could easily have just been a transient that won't return.
Again, welcome to the site, and come see us in the W210 forum.
Take care and enjoy the ride,