Nick,
Just take the carpet cover off from the passenger side and follow the wires through the plug hole. Jack up that side of the car. I sprayed some penetrating oil and used a wrench underneath to coax it off (you do this from under the car). Wasn't very hard. Disconnect the wire loom from the housing so it can spin with the sensor and not tighten up as you wind it. Then, feed the new one in, splice the wires with the harness if you did it my cheap way (after you screw it in to the exhaust). Make sure to put the black plug ring around the wires before you splice so you can plug the hole back up where the wires go through the body. Fire it up and drive it for a awhile so the computer can get use to the new signals. You should notice a positive difference.