To find it, you'll need to:
1. Identify your engine: Check your vehicle's documentation (owner's manual or the sticker under the hood) to determine the exact engine size (e.g., 3.3L, 3.8L).
2. Consult a repair manual: A repair manual specific to your 1996 Dodge Grand Caravan and engine will show you diagrams with the exact location of the oxygen sensor(s). These are available online or at auto parts stores.
3. Look near the exhaust manifold (upstream sensor): The upstream sensor is usually located in the exhaust manifold or very close to it. It's generally easier to access from underneath the vehicle.
4. Look after the catalytic converter (downstream sensor): The downstream sensor is located after the catalytic converter in the exhaust system. This one is also typically more accessible from underneath.
Important Note: Oxygen sensors are usually threaded into the exhaust system. They are fragile, so be very careful when working near them to avoid damaging the sensor or the threads.
Without knowing the specific engine, I cannot give a more precise location. Using a repair manual is crucial for accurate identification and safe replacement.