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Before you remove the drain pipe and the relief valve, you should prepare the new one for installation, By applying pipe dope or Teflon tape to the male threads on the bottom of the relief valve.
Note: not all relief valves are the same, aside from different styles like a longer body for side mount water heaters with thick insulation. higher BTU water heaters require a higher rated relief valve. Water heater relief valves are called T&P valves (temperature and Pressure relief valves).

Water heater Relief valve tape