Yeah, it's the tune. The code is telling you that it overboosted and the reason it's only happening in 3rd, 4th, and 5th is the BCS (boost control solenoid) is limiting the boost when in 1st and 2nd gear. The reason you are getting overboost is twofold, one is the fact that with the exhaust you have, the turbo can spool up faster and the car doesn't realize this. The second reason is that it's cold out, air is denser. The second one isn't the cause of the CEL though. Usually you'll only get a pound or two of overboost due to cold weather. Since you are most likely still on the stock map, you're overboost threshold is 17.4 psi. It's not good for the car and that's why it cuts out on you. As I said in my PM to you, I have a tune that will work on your car to get you by temporarily. I've got it on two other 02s and they seem to enjoy it.
VF34'd Corvette Killer aka Doug