what year is your car?
That will determine how many exactly lambda sensors you have. CF2 motors have 2, CF3 motors have more like 5 I think. That will tell you exactly which sensor you are referring to.
if you only have 2 lambda sensors then you will have 1 pre cat and 1 post cat. Pre cats are the ones that make the most difference to the running of the motor.
as the CF 3 motors have 3 cats you have more lambda sensors, they are typically referenced by bank numbers.
the connector you are referring to though is directly behind the engine block, should clip onto the fire wall / bulk head and be a 3 wire weatherproof connector block.
from memory these are grey and clearly seperate the 3 pins, probably about an inch wide.
1999 156 1.8TS Sport Pack 3
2001 166 3.0 V6 24V Super
2003 156 GTA 3.2 V6 24V
2005 156 1.9 JTDM-Jet Sport
2008 159 1.9 JTDM Lusso
1997 GTV 2.0TS Lusso
2001 147 1.6TS Lusso