The connector for the O2 sensor is under the carpet in front of the passenger seat.
The cable goes thru the floor, and the sensor screws into the exhaust. You can test at the connector, to change the sensor requires access from underneath the car.
The last post on this thread
O2 sensor failure and lambda testing
gives some good directions for testing the O2 sensor with an ordinary Walmart $10 multimeter.
Unless you alredy have a multimeter, I suggest the $35 Sears version with the duty-cycle function, so you can perform further testing if your O2 sensor tests ok. For example, you will need this type meter to check for rich/lean. Just depressing the airflow plate will not move the throttle plate so you are telling the ECU there is a lot more air entering the engine, but no air can get in.
The BMW distributor caps I have bought come with a new black plastic cover. I guess you have to ask to get them for a Benz.