That wire running accross the top of your exaust manifold (or atleast should be) is your 02 sensor, the wire runs over and connects to the harness under your thermostat housing, and the other end runs over below your turbo on the right side and screws into your 02 sensor housing right before your downpipe.
dsmparts.com is a good place to start for parts.
dsmparts.com is a good place to start for parts.