I know this a old post. Figured I could help any one else needing to replace this on a 03.
The icp is located below the turbo on the back top of the motor.
Took me 15 minutes to replace.
From underneath, reach up above the bell housing and remove the 2 - 10mm bolts and 1 13mm holding a heat shield on.
Then reach up and pull the heat shielding loom back from the sensor, and unclip the wires.
I used a 1 1/16" 12 point box end wrench that I cut down to fit up between the motor and firewall.
I used a bar to get leverage to break the sensor loose by pushing the bar up on the end of the wrench.
Unscrew old sensor, screw in new one. Put everything back on in reverse order.