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All the lists of OBD codes that I have start at P0100. There is no codes listed below that.
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Tom 69-1800S, 72-1800ES, 96-850T,2000-S70 GLT-SE

On my S70 (FWD) the front sensor is in the exhaust pipe close to the turbo. You must remove a heat shield to access it, between the engine and firewall. The rear one is screwed directly into the CAT. Access it from under the car. Both connectors are very difficult to access. They are located below the ABS unit, attached to a bracket on the transaxle. (designed for impossible access) You may have better access from underneath.
A tip. If you don't know where O2 sensors go maybe you shouldn't be doing the job.
Good luck.
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Tom 69-1800S, 72-1800ES, 96-850T,2000-S70 GLT-SE

The O2 sensors are on the cat converter, one on the front and the other on the rear of the cat. The cat is under the car, about under where your right foot would be if you were driving.
If the engine has been on, watch out, it gets up to 500F. That is why there is a heat shield between it and the floor of the car.

The Autozone person is correct. The message can be misleading sometimes. That same message can be caused by a vacuum leak close to the manifold.

Klaus
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I still miss my 164 and my 854T. Just driving a V70R :)

It's always a good idea to give the model year of your car.