Lambda sensors should be present on nearly all EFI cars.
There are several variations on the design, but they all screw into the exhaust near the engine and have between 1 and 4 wires. It should look like a thick round cylinder about 5cm long and 2cm in diameter, but it does vary a bit.
The one wire system uses the exhaust as a ground
The two wire system probably has a heater and uses the exhaust for the heater and signal ground
The three wire system has a heater and probably uses the exhaust for the heater ground and the extra wire for the signal ground, or both grounds on the third wire
The four wire system has independent grounds.
To identify the wires:
Use a DIGITAL voltmeter with input impedance of at least 1MOhm
Heat the sensor with a propane torch and watch the voltage between two of the wires
DO NOT SHORT the sensor while it is hot
You should see the voltage slowly rise to 0.8-1.0v inside the flame as it heats up
When outside the flame it should VERY quickly drop to zeroish.
Repeat the measurements until you find the signal wires. Any other wires are probably the heater.
http://www.davep1.freeserve.co.uk/rover/tech/lambda.htm useful URL
Updated 16 Dec 2002