To find it:
* Consult your repair manual: This is the best way to get the precise location. A Chilton's or Haynes manual specific to your year and model will show you diagrams and pictures.
* Look under the van: The exhaust system is usually located underneath the vehicle. You'll likely see the catalytic converter, and the O2 sensor will be downstream (after) it, screwed into the exhaust pipe. It's a threaded sensor, often with a single wire or more going to it.
* Use a diagram: Online resources might have diagrams of your specific engine's exhaust system. Search for "2000 Dodge Ram 3500 5.9L exhaust system diagram."
Important Note: There might be multiple oxygen sensors. A second one might be located before the catalytic converter to monitor fuel mixture more precisely. Again, a repair manual will show the exact location(s).
Always be cautious when working under your vehicle. Support it properly and use jack stands. The exhaust system is hot when the engine is running, so let it cool completely before working on it.