I had the SES light come on this weekend. Got it checked today and it is P0135...which is an O2 sensor code. I have heard that this will affect my fuel mileage. Is this correct? Is it gonna hurt the car to drive it like this for a couple weeks? And where exactly is this sensor located?

EDIT:
Just thought about this....
Ok, this may be coincidence but two days after I put the BG44K fuel injector cleaner I had an SES light come on. The code indicates an O2 sensor (P0135) heated circuit bank 1 sensor 1. Is there any way the two are related?

Yes but get it fixed soon as your a/f mixture is f-ed up

Any more thoughts on this? How much should I expect this to cost me?

Your Max actually has at least 2 o2 sensors (1 upstream either in the manifold or collector and 1 "downstream" after the precat assembly) -- they are easy to change out yourself if you don't feel like going to a dealership and have access to a good jack or a lift. You can buy a O2 sensor socket from snap-on for $40 or so or do it my way and take a box-end wrench and use a dremel to grind out a cut in the box end to slip the wire through. You can drive your car with one O2 sensor on the blink, and the computer will pull AFM data from the other one, but it's bad in the long run.

As far as labor we have a 2k1 GLE in the shop right now with 41k miles and a bad downstream o2 sensor, tech was able to change it in about 30 minutes. I think we charged1 hour of labor for it at $75 + the cost of the new O2 sensor (comes as a sensor and wire which plugs into a connector near the exhaust.)

We use BG44k for all our injector flushes, I have never seen it cause a failed o2 sensor directly. Its possible the o2 sensor was already going bad and the BG44K created a richer or leaner AFM that caused an under or overvoltage on the sensor.

Can anyone tell me where sensor 1 bank one is?

Its the sensor that is upstream of the rear precat (the exhaust port nearest the rear of the car).

I believe the front of the motor.

Has nothing to do with the BG44k. SES is the light for the code you pulled.