The code PO404 on a 2000 Mazda Millennia 2.3 means that there is something wrong with how the vehicle is processing the oxygen it needs for combustion. This would mean an oxygen sensor or solenoid is bad. This vehicle has two oxygen sensors.
Hi there - I just found out yesterday that the thermostat on the 1995 Millenia - 6 valve engine is located on the right/front of the engine block just behind the distributor. Looks like fun. NOT. Good luck!