I can tell what sensor it is because that's the definition of P0156 = Oxygen Sensor Circuit Bank 2 Sensor 2. For example. P0155 is Bank 2 Senor 1, etc. The bank is which side of the engine the sensor serves (bank 2 are the three cylinders on the radiator side), and the sensor number tells us if it's before or after the catalytic convertor. Sensor 1 is upstream, and sensor 2 is downstream. Your car has four oxygen sensors.
Like the name implies, oxygen sensors sense the amount of oxygen in the exhaust stream so the engine computer can determine the current mixture ratio of the engine (whether it's rich or lean). The downstream sensors are there just to make sure the catalytic convertor is working by testing the convertor's oxygen storage capacity. If you want to know more, just Google.
You have a circuit code, which might mean the wiring is damaged, disconnected, or melted. Just follow the exhaust and find the sensor below the first catalytic convertor on the front side. They screw into the exhaust pipe and there is wiring coming out of the end of it.