It always helps to have your car spec on your signature, because the asnwer is different depending on whuch A2 you have.
I think yours is a 1.4 petrol?
I am not sure of the location of that one, but I am sure that you will get your answer soon.
As for part number I would suggest paying a little bit extra and get it from an Audi dealer, there are a lot of substandard ones on the market (I have bought one myself from eBay that failed almost straight away)
Just give them your reg number and they will do the rest.
The sensor is the green do-hickey on the right had side of the engine as you face it. Here is the link to show more detail. It is easily found on ECP with your VRM and searching for sensors, not too expensive.
Just remember that as soon as you pop it out most of your coolant will want to follow suit!