02 sensor location and replacement

Recently I changed my 2002 Honda CR-V catalytic converter and replaced it for about $550. The check engine light came back on again after a couple of months. I took it to another dealer and was told I need to change the oxygen sensor (code:P1166). Shouldn't the first dealer detected the problem in the first time? Did he fail to note the real problem (the oxygen sensor) and change the wrong part?
Your professional advise is highly appreciated.

One month ago, I had a yellow light with the shape of the engine. I took my car for check up, the technician told me that I have a problem with the o2 sensor he reseted the light and he tolld me I can keep driving my car untill I feel that its fuel consumption is higher than normal then I have to change the o2 sensor. The light now appears for 2 or 3 days, after it went off for 2 or 3 days. Please advice me what to do and what are the problems that I might face if I kept driving my car without changing the o2 sensor.

How can I instal front oxygen sensor by myself. I already bought the part.
Thanks a lot!