How do you change an oxygen sensor in a 2001 Volkswagen Jetta?

You need to purchase the tool for removing the O2 sensor. It's a socket that has a slit down the side for the O2 sensor cable. This will cost you about 20-30$. The 02 sensor will un-screw with a socket wrench. Best done when car is cold. Otherwise you will burn your hands.

Good luck.