Can anybody help me? Car is running great-1994 Mercedes E420. Check
Engine light came on-someone told me it might be oxygen sensor. Where
is this in the car and what does it look like? I'd like to repair
myself.

Hi Kevin,
  
"How to Replace a Mercedes Oxygen Sensor.
The oxygen sensors on most Mercedes are not hard to change. Although
tool manufactures make special sockets for removal, most sensors may
be removed using a wrench. This requires that you unplug the wire
first. On most V8’s the wire is connected by the transmission while
many 4cyl. and 6 cyl. vehicles the wire disconnect is under the
passenger floor mat."
http://www.thebenzbin.com/oxygen-sensor-tech-tip.html
  
Here is a picture of an Oxygen Sensor: 
http://www.bmw-parts-wholesale.com/images/pages/oxygen-sensor.jpg
(This sensor is for a BMW, which is very similar to the Mercedes
Oxygen Sensor)
  
Here you can order an Oxygen Sensor for the Mercedes E420, and you can
see a small picture of it:
http://parts.thebenzbin.com/parts/wizard.jsp?year=1994&make=MB&model=E-420-001&category=All&part=Oxygen+Sensor&usemake=MB&returnurl=mercedes.thebenzbin.com
  
I hope this helps!
regards,
JACKBURTON-ga
   
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Saved me a lot of money-fast response. Thank you!