That would be the sensor in the front of the engine. I call it the Idiot sensor, because it powers the Idiot gage in the gage cluster. If it's the one with a threaded stud at the end, that's the right one. If it has a two-wire connector at the end, it's the actual temp sensor for the PCM.
In any case, you will need to partially drain the coolant system. I've found that getting one of those fluid suckers from AAP that's in the grease gun section and sticking it down the radiator cap tube until it doesn't pull fluid any more works quite well, and it's very not messy at all. Do it until you can squeeze the upper radiator hose and not hear any coolant squishing around.
Then, take the airbox hose to the TB off along with the upper half of the airbox, then the lower half. Remove the upper radiator hose from the inlet tube and the radiator. Remove the inlet tube from the block, I believe it's two 10mm bolts. This will give you pretty good access to the idiot gage. It's just forward of the thermostat. you will see one wire going to it; pull it off. I can't remember what size the sensor is, but make sure you put teflon tape on the new sensor before you put it in.
I would recommend you replace the thermostat while you're down there; they go bad often and it's too cheap to ignore. If it doesn't have a jiggle valve in it, make sure you drill a 1/32" hole in the perimeter of it and install it with that hole at the top.