Did they even run the emissions test with the light on? If so they wasted your time...they should have noticed the light immediately and said they could not pass you with the light on.

An oxygen sensor is located in the exhaust system, some vehicles have two of them. Once you find it or them, just go to your local parts store and tell them what year make a and model vehicle, and tell them you need 1 or 2 O2 sensors. And you will also need an o2 sensor socket.
Here is a link that will point you in the right direction. It is not a Jeep, but will give you a better idea on things. <img src="/forums/images/graemlins/cheers.gif" alt="" /> replacing an OX sensor

And another thing...if the Check Engine light ever comes on, Auto Zone will scan for codes for free. Better than having the emissions place do it...hopefully you can get it fixed soon enough so you don't have to pay for the dang inspection twice.