Assuming your car is a Zetec Focus, it is just behind the alternator going into the engine block. It is called a Cylinder Head Temperature Sensor fyi.
If you're having cooling probs though, it's normally not the temperature sensor. Instead, it's normally the thermostat or relay located on the radiator. The relay is a snap on piece right in the middle of the radiator with a wire plugging into it.
Change thermostat (~$9 piece), then visually inspect the relay. If the spring looking part of the relay is corroded, replace it (~$30). Replace cylinder head temp sensor as a last resort, it is very labor intensive to replace and rarely has probs.
I own a 2001 Zetec ford focus.