When you remove the bonnet, you will see it to the right of the cylinder head (if its a petrol) its in a plastic housing, on mine its sitting next to another sensor.When you order one make sure you get a new o-ring and the plastic clip.
Fit the new ring to the sender, remove clip and pull out old sender, then quickly replace with the new sender, so you dont lose to much coolant. Then put new clip on, top up coolant and run engine.
I got my sender from VW dealer paid about £7.60 i think.
Alan