Foreword:
This is actually a pretty straightforward and easy procedure. It only requires basic tools and for the average person, about 20-30 minutes of your time (as long as everything goes alright).

If you do not know what an O2 Sensor Removal Socket looks like, here is a picture of the one I used:

You can buy one from somewhere like Advanced Auto for about $7

The first thing you need to do is place the jack under your car. I chose to use the pinch weld under the passenger's door area. Next you will want to remove the wheel from the car so you will have better access to the O2 sensor. I did this by using a 19mm socket with an extension.

Upon removing the wheel, you should notice a small plastic flap with a few plastic retaining screws holding it in place. I have circled them in red in the picture below.

You are going to want to remove these using flat head and phillips head screw drivers. Take care in making sure you do your best to not strip them out. If you do, you will end up having to either pry them out or pull them out with a set of pliers. If you need to replace any of these, you can usually find them at any autobody supply store or Napa. Anywhere that carries the "Help!' brand of parts, might also have these (Advance Auto, Autozone, etc.) The white frame in the picture is my Carbing Subframe Brace. So, your setup will look a little bit different, but not too much.

Once you have all of the plastic screws pulled out, remove the plastic cover.

If you pull the remaining plastic cover to the right, you will be able to see the O2 sensor. You can opt to remove the larger of the plastic fender well shields, but I did not see much point in doing so as it would not really yield much more room for access.

With the O2 sensor exposed, you will want to spray it with some lubricant (PB Blaster, etc.). With that now soaking in a bit, you are now going to want to go and pop your hood to gain access to the plug end of the sensor.

Looking at your engine bay, you will want to move to the left side (passenger side).

Underneath this cover are two connections, the top one (circled in red) is for your front O2 sensor.

Go ahead and disconnect this plug.

Near the top and the middle section of the wire the goes between the sensor and the plug, you will most likely encounter a couple of zip ties. You will want to cut them so you can pull the wire from the engine bay down to where the sensor is located.

At this point you can either choose to leave the plug/wire connected to the sensor or you can cut it to make it a little bit easier to remove the sensor. I chose to leave it connected just in case the new sensor did not fix the CEL I was getting. You will want to put the O2 sensor removal socket on your extension and pull the plastic flap over to the right again. With the flap to the side, you would be able to fit the socket over the sensor without much of a problem. Go ahead and attach your ratchet.

With a little bit of elbow grease, the O2 sensor should start to turn and eventually come right out of it's threaded home.

Toss the old sensor to the side and take out your new non-fouled sensor to admire... As a side note, you will usually pay about $220+ for an OEM Denso O2 sensor from the dealer. Even "discount" auto parts stores can charge as much or more for this same part. Try ebay...I picked mine up from an e-tailer on there for $140 ;)

Your new O2 sensor should have come with a little packet of copper paste. Apply a bit of it to the threads of your sensor. This will help ensure that the next time you have to replace this little guy, it will be even easier to wrench out.

Go ahead and put your new O2 sensor back in the bung that your removed the old one from. Screw it in by hand as far as it will go, making sure that it goes in relatively easy and you are not stripping any threads. When it is in as tight as you can get it by hand, trade up to your ratchet with the O2 socket on it and tighten it up. Don't kill it, just get it nice and tight. If you want to be exact with how tight you get it, consult the manual for your car to get the torque spec. Also be careful that the wire coming from the sensor is out of the way! You don't want to have to buy another sensor because you made a mistake and cut the wires. The next step is to thread the wire/plug back up to where it plugs in. Make sure you put a couple of new zip ties back approx. where you cut the old ones.

Plug the new O2 sensor back in and put the cover back over it. Now put your wheel back on, tighten up your lug nuts and lower the car back down. Now you can either choose to clear the CEL that you were getting prior to replacing the sensor with an OBD2 Scanner, disconnecting the negative battery cable for a few seconds, or any other method your heart desires. You are done!