I recently installed the K&N CAI system. My truck is making a bad noise near the air intake. It makes a thud when the MDS kicks in I believe. Not sure if I did something wrong here? It sounds and feels pretty rough. Please help

 

If it's a loud sound like an exhaust leak in the manifold, don't sweat it. That would be the EGR valve opening and closing. The stock plastic cover over it was acting as a baffle and knocking out the sound before you could hear it. If you got the 77 series like I did, the steel tube REALLY amplifies this sound. The one with the black plastic tube isn't near as loud.
If it's more than that, it's possible you knocked some crud into the throttle body and on the sensor. You may need to take the CAI off and give it a good cleaning.