Sensor is usually in the dash, up by the defrost vents by the windshield.
I think it looks like this:

The trim/shroud should just pop out with a little persuasion, (not 100% sure though)
...and the sensor itself is held in place with two screws.
OEM P/N: 56042584AA
(same for 99-03)

You may need something like this "skewdrwiver" to get it out....