Bank 1 is the side of the engine with the number one cylinder. For the 5.0 Liter Ford Engine this means the passenger side, sensor 1 means that it is the first sensor that the exhaust reaches as it exits the engine and travels rearward toward the back end, it is between the catalytic converter and the engine exhaust manifold/header. you've already jacked up the truck and taken the wheel off, support the truck with a jack stand and crawl under there. Its not a tiny sensor, you will see it. start by checking the electrical connection of the sensor, try to wiggle it, pull it apart put it back together what have you. Then clear the code by either disconnecting the battery for a while, or using a scan tool. that may do the trick for you. good luck
Edit: by the way, it is screwed into the exhaust pipe, not the engine, not the car body, it's not the egr tube which is on top of the exhaust manifold in the engine bay, get under the truck safely, It is not hiding from you although it's not right out in the open where it can be damaged by every little piece of road debris, so it might be hard to get a wrench on it to turn it out.