To find it, you'll need to:
1. Identify your engine: Check your vehicle's documentation or the engine block itself for the engine displacement (e.g., 5.7L, 6.2L, etc.).
2. Consult a repair manual: A repair manual specific to your year and engine will show you a diagram of the exhaust system and the exact location of the O2 sensor(s). Many online resources (like Haynes or Chilton) offer manuals for download or purchase.
3. Look for a wire: The O2 sensor is a threaded device with a single wire (or sometimes a few) leading to it. Look for this wire near the exhaust manifold or pipe. Be careful as the exhaust system is hot.
Without knowing the specific engine, it's impossible to give a precise location. Using the steps above will greatly increase your chances of finding it.