In the following sentence, to which antecedent does the pronoun refer? after denise went to the grocery store, ,she stopped at the gas station.

A pronoun replaces a noun. Common pronouns are he, she and it. So, the only pronoun in this sentence is she.
 
"...she stopped at the gas station." 

An antecedent is the word that the pronoun refers back to, or replaces. So, who is "she?" "She" is Denise.

"...Denise went to the grocery store..."

So, the pronoun (she) refers to its antecedent, Denise.