'97 E420 O2 sensor question.

[amosfella]

My grandma's E420 has a code being thrown saying that the O2 sensor is bad. It says it's one of the front ones. Now, would I be wise to change both of them, and there is a claim that the left and right ones are different. What is the difference?
Also I have not climbed under the car. Do the sensors plug in on the outside or on the inside of the cabin?? The WIS wasn't clear on this regard. Where is this plug, and is there a special tool to get the O2 sensor out of the pipe.... or do I need to take the pipe off to get it undone??