That sensor is called Lambda sensor too. It is in charge of measuring the richness of the mixture that gets to the catalytic converter. If the mixture is too rich it sends information to the ECU to reduce the mixture, if it is too lean then it send the order to put more fuel on it. Every car has a different number of o2 and lambda sensors.
Basically you can test an O2 sensor with a multimeter. There are two things you have to test:
1.- You connect the voltmeter to the pins of the sensor and heat the sensor stick in the other side, for this you can use a propane torch, or if not a bonfire.
2.- You connect the ohmmeter to the pins of the sensor and test the heater resistance of it holding it with your hand and seeing if the voltage changes. The heat of your hand should make it change slowly but constant.
In both cases when you stop putting heat on it, the values should drop in about 3 or 4 seconds.
With this test procedure you can ensure your O2 sensor is really not working, before paying an unnecessary one.
Have you read your car codes?