It's bolted on the front of the catalytic converter. Lay on the ground and look under the car from the passenger side and you can see it. All you need to remove it is a 22mm wrench, the O2 sensor wrenches are a waste of money. You have to jack up the car so you can disconnect the wire clip for it from underneath.
Assuming you have a base 5spd (SH and auto's may be the same, I don't know)you need this sensor:
http://www.oxygensensor123.com/item....DENSO&weight=1 You will not find it cheaper, and it is a direct plug in replacement. If you go to pepboys, autozone, or whatever local place you will have to cough up at least $90 for a universal fit Bosch sensor that will require you to splice into the old sensor's wire harness.
I delayed replacing my primary O2 sensor when it went bad, and it made my car run like total crap. Lots of black smoke out of the exhaust, hesitation, bogging, terrible gas mileage...just change the damn thing now before it causes problems later on.