To find it definitively:
1. Consult your vehicle's repair manual: This is the best resource. It will have diagrams showing the exact location of all sensors.
2. Look under the vehicle: The exhaust manifold is typically near the engine block. The O2 sensor will be a threaded device screwed into the exhaust. It usually has a single wire (for older vehicles) or multiple wires (for newer vehicles with heated O2 sensors) coming from it. You might need a flashlight and possibly a mirror to get a good view. Be careful! The exhaust system is hot when the engine has recently run.
3. Use an online parts diagram: Many auto parts websites (like AutoZone, Advance Auto Parts, etc.) allow you to enter your vehicle's year, make, model, and engine to see a parts diagram. These diagrams often show the sensor's location.
Remember to always let the exhaust system cool completely before working on it to avoid burns.