Changed fuel filter and engine light came on...

[LEE BROWN]

but went out second or third time i started it. This ever happened to anyone? This was my first fuel filter change, its an '06 2500 GMC.

[DmaxMaverick]

Probably got a slug of air and the HP pump was a little slow to respond to the pressure demand. Mine's done it a couple times over the years. As long as the SES goes out, the condition that originally set it no longer exists. You probably have a P0093 or P1093 in memory. You can check it to confirm, but I wouldn't worry as long as the light stays away.

[edit]
Also, check to be sure you connected the WIF harness at the bottom of the filter. Early models didn't miss it, but later models might. I don't know for sure.