lambda probe is what measure your exhaust emissions, its connected to the ECU and from there it justs the fueling to the engine.
i.e. if the lambda probe pics up it running a bit juicy, it will reduce the amount of fuel going into the engine!
as for location, if you follow the down pipe down under the engine, u'll come to the cat, it is around that area on the top of the exhaust! you shouldn't miss it!
o and by the way, welcome to the forum!
