It's not too hard but realize there are 4 Oxygen sensors on the car. There are 2 on each exhaust pipe. One in front of the cat and one just behind it.
I think the code that Autozone pulled for you ID's the correct Sensor that's not working correctly. Also, Autozone will lend you a tool that makes it easier to remove the sensor. It's just a a socket that has a slot in the side so the wire on the end of the sensor can be accomadated. Otherwise, it's like removing a spark plug.
I had a trouble code show up on my previous Taurus ('96). Went to Autozone and ID'ed the correct sensor. I drove the car up on my ramps and pulled the sensor with an open end wrench, cleaned it with a steel brush liked you clean a spark plug with, put it back in and never had the code return again. I'd intended to buy the new sensor but wanted to make sure I could remove the old on first.... but ended up never replacing it at all.
And, BTW, to reset you trouble code and turn off the dash light, just pull the negative wire off your batterry for about 10 minutes.
Also, there's a website that sells O2Sensors fairly cheap. I'll see if I can find it for you.