On the exhaust pipe, just after the catalytic converter. In theory it is simple to change, just unplug it and unscrew it from the exhaust. Depending on the exact location you might not be able to get an ordinary spanner or socket on to it. Look on ebay etc for Lambda sensor wrenches.
However, in practice the sensor is often seized in place. An oxy-acetylene burner may be needed to heat the boss.
Best I can say is get under, find the sensor, try to turn it with a spanner (22mm I think) or big adjustable. If it moves then great, if not just take it to a garage.
I would recommend you buy a good quality sensor, either original part from Vauxhall, a Bosch or NGK/NTK part from a good supplier. "universal" sensors are, IMO, a waste of time and money.
Are you replacing it because of a fault code reading? If so have you also checked its output using diagnostic live data? A poor connection, failing catalytic converter, poor quality fuel or a badly running engine can also throw this code.
Before buying a new sensor try unplugging the sensor and cleaning inside the plug and socket, preferably with proper electrical contact cleaner spray but WD40 or similar will do.
gerry, May 2011
