02 Nissan Altima

The service engine light can code can easily be checked at most auto parts stores. I know Autozone does it for free. Using their diagnostic tool, it should be able to tell which O2 sensor it is, since there is typically 2 in any engine (sometimes 4).
So why not just leave the light on? You can but the 02 sensor helps with fuel / air mixture and although it is an emission issue, it will affect mpg slightly.
When I replaced my O2 sensor, it was as easy as unscrewing the old one and screwing in the new one (and of course hooking up the sensor wires). Depending on your car it could be in the engine compartment or under the vehicle. Again, AutoZone could help you locate it or go the library and look in a Chilton manual for your particular vehicle.
I hope that helps.

My enigne light went off! Everytime I go to autozone they tell me I need to rent the machine and wont do it! I have a friend who is going to check it for me on monday!