You can take a look at my build thread for the exhaust if you want. It's here.
My Exhaust system
My TRD headers came with a bung for the A/F sensor. I'm using it for the AEM gauge. The photo you have is correct. That should be your A/F sensor.
I also have an additional bung that came with my upstream cat which I'll use for my A/F sensor. I chose to keep both of my Cats.
(EDIT: If I wasn't running an AEM A/F gauge for the SC I would only have an upstream and a downstream bung.)
The third bung, or in your case the second bung which you should have but since you went with a straight pipe I don't believe it's on there would be the sensor reporting the condition of your CAT to your computer. This is your O2 sensor on the DOWNSTREAM side of your Cat.
If you don't have it you will constantly get a 0420 code. The way some folks get around it is to "ignore" it or take the CEL bulb out. The other way to get around it for DEQ is to have the additional bung welded in the pipe by any muffler shop and install the URD option.
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2001 Imperial Jade Gold Letter Sport Package - Original Owner