Generally, replacing an oxygen sensor is like changing a spark plug. Just unplug the harness and use a wrench to remove it. Sometimes these are hard to reach with a wrench because it may be in a tight space. You can buy the oxygen from the dealer ($$$), use an OE ($$), or get a generic one like the Bosch ($). The generic ones generally require that you cut the wires from the old one and crimp those onto the proper wire on the generic one. The OE generally comes with the same harness that is on the one sold by the dealer. As far as I know, the generic ones work just as well as the OE, just a more complicated intstallation.
--
1998 Volvo S70