There are two sensors, one front axle and one rear axle located left side on the inner pads. You will need two new sensors when replacing all pads. The sensor is a loop of wire on a plastic holder. As the pads wear to ~3mm remaining, the wire contacts the rotor and eventually wears through causing the warning light.
Some brake pads come with sensors, some don't. The old sensors are not reusable - they break when trying to remove them from the OEM pads. If you're changing your own pads, thread the new sensor through the rear caliper before clicking it in place on the pad.
Here's a shot of my rear sensor - it was almost worn through when I installed ceramic pads at ~26K miles.