I don't have a Clio... but the Lambda sensor will connect to a box something like this...
http://www.lubemobile.com.au/SiteMedia/w3svc621/Uploads/Images/ecu.jpg
You will probably find your EMU in the engine compartment - if you follow the wire from the sensor on the exhaust you'll get there eventually. There will probably be an in-line plug and socket a foot or so away from the sensor - this place sells them...
http://www.lambdasensor.com/main/mindex.htm
Good luck...
Peccavi
October 2009