Exhaust Fitting...

First remove the rear panel see guide here: Guide

Remove the rear crash bar. Guide

Next detach the lambda sensor from the exhaust, if you have a Mk1 to Mk3 you wont have a second sensor on the exhaust.

To remove the sensor (Mk4 onwards) follow the cable up from the lambda sensor and unhook the plug from its bracket and unplug the sensor.

Use a 22mm ring spanner to unscrew the lambda sensor from the exhaust. These sensors are often difficult to remove due to the heat they are subjected to, so some ‘gentle’ persuasion may be required.

The next job is to remove the turbo studs. Use a 13mm socket to undo the studs (green arrows)

Be careful when doing this as these studs are known to snap in the turbo. If they do the studs will need extracting.
(To improve access, you can remove the bolt securing the heat shield (blue arrow) around the turbo mounted lambda sensor, and lift the heat shield. )

Undo the exhaust bracket from the gearbox. It will be mounted by 2 E14 bolts (red arrows). The exhaust should now come away from the car.

Take the new exhaust and fit the lambda sensor. Take a new pair of turbo studs and screw onto the turbo. Note that should also use new turbo studs when changing the exhaust. If you look closely at the replacements, the brass nuts are slightly oval. They deform as you turn them onto the stud making them a one time fit!

Bring the new exhaust up into position and attach on it mountings. Some exhausts also provide an additional mounting bracket which bolts onto the gearbox using same bolts used by the bracket for the turbo inlet pipe.

Ensure the exhaust fits nicely onto the turbo. Do up the mounting bolts firmly, but not tight. Put the nuts onto the turbo studs and tighten firmly.

Tighten the remaining exhaust mounting brackets.

Plug the lambda sensor back in, and run the engine to check the exhaust is suitably mounted with no signs of leakage.

If all is good then replace the rear crash bar and rear panel.