The sensor in question that you want to replace is after the downpipe the one farther away from the engine.
The one before the downpipe measures air-fuel ratios the one after the downpipe measures the effectiveness of the converter.
Yep. Everyone has been saying the code is reference to the catalytic converter. This means it's either the downstream sensor as Ford ST said, or the catalytic converter itself. (or both)
Hang on to the original sensor you just removed. I'd confirm whether the first/second sensor are the same (think they are) and use it to replace the one that should've been replaced to start with.
If the catalytic converter has failed, consider the possibility that there may be an engine or fuel-additive related reason(s) for it. An engine that's running rich, leaking coolant, running cold, or running leaded fuel, are examples of conditions that murder converters.