Ryan-If your Explorer is a '91-'94, it should be on the passenger's side at the top of the engine. If you remove the heat sheild from the top of the engine you should be able to see it. Its not a hard part to replace. Just follow the instructions in the service manual if you have one. If you don't I would highly recommend getting one. It doesn't cost that much. You could replace it within forty-five minutes or less.
David-as for gas mileage, there are so many variables. Gearing, tire size, highway vs city driving, driving styles, etc. I have a '91 with 5spd, 3.73 gearing and 31s. I do more highway driving than city and since I leave for work when its still dark, I run the air only while going home. I get about 300mpg on 3/4 tank of fuel. And since I haven't corrected my speedometer or odometer, I know I'm doing even better than that. But its still hard to say what is acceptable since there are some people that run the air and get more than I do. It might be that you'll just need to do a complete tune-up. Plugs, plug wires, clean the MAS sensor and throttle body and get a K&N air filter if you don't already have one. Just remember to reset your onboard computer by disconnecting your negative battery cable and reconnecting it after the changes. Hope this helps.