check engine light came on a few weeks ago

I have an 2002 Mercury Sable. I was told that my 02 sensor is out in my car and that I have 2 sensors on my car. Where are they located and are they hard to replace?

My check engine light came on a few weeks ago and I continued to drive my car. Had it checked for codes by Autozone and was told it is the 02 sensor. My car runs fine but does use more gas than before.