OK. Some of us have obd II and some of us live in states where the salt hits our cars 3-6+ months a year. SOME of us have alot of miles on our cars, and eventually our down stream or rear oxygen sensor fails... Fun.
After playing with a Oxygen Sensor Removal Socket or Wrench

or
It then looked like this
NOW A problem that might occur when this happens is that you might feel the need to heat it up. Through talking with a few mechanics I know, it would be a bad idea to heat up the sensor to get it out. Theory behind this says you will start to melt or seriously deform the Cat threads when you turn the sensor out.
I took my chances, I had my MAPP torch and gave it a little heat, tapped on it with a ball peen hammer, tried to turn it, did it again. After a while it came loose.
Now, take that boot off where your sensor wire hits the floor boards, about the place of the b pillar
You will see the white / creamy retaining.... thing.
IT IS HELD IN BY 4 INTERNAL CLIPS!!! you must be careful, please see pic.
you press them inwards. Do 2 at a time, and pry so slightly that the one side pops out just a little, then do the other 2 and it comes right out.
The other side will have your connector
NOW, if you have a direct fit replacement, just slap some anti-seize on the sensor threads, plug in and put back together reverse of removal! DONE!
BUT if you don't and wanted to save a few ( $40.00-ish ) bucks and got the universal, you need to do some splicing. Follow the said instructions that came with the sensor so as you have enough wire length.
Find a nice work place and just cut one wire at a time, and splice the new wire in, ONE AT A TIME!
If you accidently got angry and CUT all the wires after screwing around with all the removal of you old senseor ( like I did

) YOU will then have to figure out what wire goes where! Basically what white wire is what... here's something that might help.
Well I took some pics of the harness coming from the car to the o2 sensor. This may help others if used in conjunction with Nissan FSM page 197 in the "EC" section.
http://www.sr20forum.com/gallery/***...ry.php/cat/845
I have come to the conclusion that this is how the pinout reads....
Looking at the sensor harness from the back ( sensor side to ecu side ) with the clip on top going clockwise
1 - white
2 - black
3 - gray
4 - white
Looking at the sensor harness from the back ( ecu side to sensor side ) with the clip on top going counter-clockwise
1 - red with yellow tracer
2 - white
3 - black
4 - brown with yellow tracer
ecu side is listed in the FSM as follows
1 - red with yellow tracer is the heated wire of the sensor
2 - white is the signal wire
3 - black is the ground
4 - brown with yellow tracer is 12v+
SOOO To make things simpler
1 - white - heated
2 - black - signal
3 - gray - ground
4 - white - 12v+
Hope this helps, and please look at the pics from the link for clarification of things.
After all is said and done, drive the car for a while and the CEL (check engine light) should go off. Or if you know someone who likes you at a parts store, have them remove the codes and you'll be good to go!