Your oil is (most likely) not leaking into your exhaust but rather through the head gasket into the cylinder(s).
You have to machine your head and replace the gasket.
(I don't recommend trying this on your own if it's your first time)
I'm assuming of course that you have BLUE smoke coming out of your tail pipe....
if not clarify...
The exhaust pipe was leaking.
The catalytic converter is in the exhaust pipe directly behind the engine.The catalytic converter is in the exhaust pipe directly behind the engine.
The burning smell from the exhaust pipe may be caused from oil or transmission fluid leaking into the exhaust pipe. For example, if your turbo is failing on the car, then that can cause leakage from the manifold into the exhaust pipe. There may be other reasons, too, which other people will be better articulating.
They are 3 to 4 inches long with an electric wire in the end of them and they are screewed into the exhaust pipe / pipes. There is 4 of them on that engine and there will not be any after the muffler.
in the exhaust pipe
Are you referring to a loud exhaust sound? If so, it could be (Going from the engine back to the tailpipe) a cracked or leaking exhaust manifold - a leaking exhaust pipe - a leaking catalytic converter - a leaking muffler. That covers the exhaust system. If you are talking about a noisy clattering sound in the engine, you could possibly need a valve adjustment.
it sounds like your exhaust manifold gaskets are leaking or you half a hole in your Y pipe
No, it will not cause smoke from the exhaust pipe. However the leaking oil can drip on the exhaust manifold where it will be burnt and smoke.
It is screewed into the exhaust pipe/pipes close to where the exhaust bolts to the engine.
That would be the passenger side of the engine and it will be the first oxygen sensor that's screewed into the exhaust pipe on that side.
Exhaust leak at Exhaust manifold to head gasket or oring at exhaust manifold pipe.
Valve cover gasket is probably leaking oil onto the exhaust manifold or the oil filter may be leaking oil onto the exhaust pipe.