There are 2:
Primary: located in the exhaust manifold, monitors air/fuel ratios, changes mixture accordingly. If this one is bad you'll get some driveability problems, low MPG, etc.
Secondary: located in the cat or after the cat, monitors catalytic function. If this one fails, you get a P0420 CEL. Replace the cat or spend $10 and make the non-fouler. DIY is on here.