Where is the oxygen sensor located on the 2002 Volvo S60 with 2.4L Turbo and secondly once it is replaced do you have to reprogram?

I have a 2001 Volvo S60 Turbo. My Volvo has two oxygen sensors. Both are in the exhaust system. The first is in the exhast pipe, close to the engine (it looks like a spark plug). The second one is in the catylitic converter. I had mine checked at Autozone (local auto parts store). I am having trouble disconnecting the electrical wire. In any event, if you replace the sensor, the code will have to be reset in order to extingish the check engine light. Autozone said that they can reset.