To change the O2 sensor:
Look behind the rear spark plugs. You'll see a spark plug looking thingy sticking up out of your rear manifold that looks suspiciously like the one you just got from gmpartsdirect.
Unplug the harness. Use a crescent wrench or Metric (is it 19mm) combination wrench to remove the old one. Righty tighty lefty loosy.
Put the new one in, but don't touch the element end. Tighten it SNUGLY and Firmly, but don't move the car with your tightening.....
Hook up the harness. If you haven't burned yourself by now, it'* because you were smart and let the car cool down first. You're done.