How difficult is it to install a new 02 sensor?

Most of the time it is just: remove the connection to the O2 sensor, screw out the old O2 sensor, screw in the NEW O2 sensor, re-make connection to the O2 sensor. Note that some O2 sensors do not have plugs and you have to cut the wire and use crimp connectors to attach the new O2 sensor. If yours has a plug, you're in luck. Note that if the package includes a tube of silicone grease, make certain that you use it to protect the connections from corrosion. One of the hardest problems is taking out the old O^2 sensor. They have been in so long that they sometimes become seized in the port. You might have to resort to penetrating oil, heating torch, or a long bar & muscle to get the sensor out. The new sensor should have a little anti-seize on the threads to prevent getting stuck in the port.