[92gsr200k]

Since Autozone already told you what's wrong, then you don't have to go through diagnosing the O2 sensor, so you'll need one of two tools, either an open deep socket (looks like a regular socket, but there's an opening along the length of the socket, for the O2 wire to slide through) or a flare wrench which looks like an open end except it looks like a 'C' at the end.

I would go with the socket, since you'll have better grip with it because the O2 sensor will be on very tight due to the heat extremes exposed to at their locations.

Screw off, screw on. It's as easy as that. The O2 at the exhaust manifold you can get to without lifting the car, the O2 at the Cat. you'll have to lift the car, that's the only difference.

Anyway, good luck with the change.