Piece of cake unless the old sensor is seized in the hole. If it is, soak it liberally maybe several times with PBaster (Walmart etc) (not WD40) and it should come out. Much like changing a spark plug. You need the car high enouth to work from below. "Direct fit" sensors come with the origional wiring harness and "universal" sensors require you to splice four wires using a splice kit that comes with it. Universal sensors are considerably cheaper but require a little more work. You need to make sure the sensor is correct for your engine and some cars require an additional wiring harness. Check discountoxygensensors.com and volvospeed.com for a pics of the procedure.

bl

I have a 960 and recently faced this exact problem. I bought an O2 sensor and was going to tackle it. It didn't look too terribly difficult just a bit of a pain making sure all the lines got routed back to their original positions in the proper wire looms. There is a special tool for the O2 sensor. You can buy one from IPD. In the final analysis I was having some other work done and the mechanic convinced me to let them do it. My line of reasoning usually go something like: if I'm down under the car with my arm jammed up into the problem and I think, "would I have paid someone $50 to $100 to have kept me out of this position and these problems". If the answer's yes then I'm off to the independent mech. I still have kids at home and golf to play so my time under cars is somewhat limited. It's not a difficulty problem, it's a time/money decision.