Now that you have determined that you have a screw-in type O2 sensor and you think you can tackle the task of installing it yourself, let's get to it. The good news is once you get to it, the job isn't super tough. Start by spraying the sensor with a good penetrant to loosen it up a bit. The constant heating and cooling of that area can make any bolt tough to remove. If you want to do this job more safely and easily, I recommend buying a proper oxygen sensor wrench. This will ensure an easy removal of the old sensor without damaging any of the delicate wires hanging out of it.
If your O2 sensor is being stubborn, you may have to apply the added force of a breaker bar to get it out of there. This is not uncommon, so don't be afraid to add some leverage to the equation.