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Maybe someone else will jump in and verify this, but I think that is the passenger side. So it'll be in the exhaust header pipe coming down from the passenger side of the engine. Not too hard to change, you can get a replacement at most auto parts stores. Just make sure the new one either has the compound on the threads or you get that as well. (All the one's I've seen come with it already on the threads). Then it's one electrical connection and unscrew it, screw in the new one and reconnect.
And if you don't get a verification here which side, the auto parts store should be able to tell you also.
You will need a special socket for the sensor to remove it since the wires are on it. I bought one at Napa for $8 or so. Also a little extra motivation might help like a breaker bar because more than likely the old one is rusted on there.
A box end wrench works much better than those sockets with a cutaway, unless you get an expensive one from Snap-On, Mac, etc.. The parts store ones just flex too much and end up slipping if the sensor is really stuck. Though most replacement O2 sensors have a little anti-seize on them, I always add a little more just to make sure the next one doesn't get stuck.
Also, I wouldn't fool with the after-cat sensor unless the computer is throwing a code about them. They only monitor converter efficiency.