My 1998 Excort ZX2 possible O2 sensor problem?

I have a 1998 Ford Escort ZX2. I know that it has had a bad 02 sensor, but am wondering if what happened could be that bad 02 sensor or something else.

The car has been running ok, but the engine light stays on. I had it checked at Auto Zone and they said that it had a bad 02 sensor.
I was driving it to town the other day and it backfired and then a loud noise started coming out from the front of the car...It sounds like a loud motorcycle now when I drive it. It still goes fast, but when I come to a stop it sometimes stalls and dies.It will give out little backfires while going up the hills though.
It doesn't overheat, and everything else seems to be ok on it...I was wondering if that bad 02 sensor is most likely the cause? Can anyone tell me if you have had the same problem as this?

Another question I have is where is the 02 sensor located? I know it is supposed to be in the front and you can see it but how big is it and how do you change them? Do you just unplug it and plug the new one in or is there a certain way to do it?

Any help is appreciated.