Easy to find...just look at the exhaust piping. The one you are looking for should be the passenger side O2 sensor furthest towards the back of the truck. It is a round sensor with a wiring harness attached to it. Should be able to just unplug the harness from the rest of the vehicle then unscrew the sensor from the exhaust bung. You can either use a crescent wrench or a ratchet with a O2 sensor socket. Might want to put a little penetrating oil (PB Blaster, Aerokroil, etc.) on it first. They usually run about $50. I would test the sensors and the cats first with a DVOM...just to be sure it actually was the O2 sensor at fault. An exhaust leak would also cause the P0430 code.
Of course emissions related components are warrantied for longer than powertrain warranties. Might want to let the dealership check it out.
2000 F-150, 5.4L, SuperCab, Flareside, ATI ProCharger