2006 Chevy Optra O2 Sensor

My engine light has come on and I've gone to my mechanic to have the 'code' cleared. He told me it looked like I needed to have the O2 sensor replaced. My understanding of the O2 sensor is that is controls the fuel mix ratio. When my engine light comes on (as it still is doing), it seems to be affecting the transmission in that it makes a very loud 'clunking' sound when changing gears and runs terribly after that. I've bought the O2 sensor to replace it, but would like to know where I can find it (for one) and also, do I even need to change it? I'm also wondering if the clunking problem I'm having is something with the transmission?