If you have 4 o2 sensors, the 2 post cat sensors will have to be relocated. If you only have 2 sensors, you should be okay.
running on stock exhaust will sound like complete arse. Once you get aftermarket exhaust (read, get a whole exhaust system, not just some POS weld on muffler, the stock piping is for crap!) you need to make sure you get one with the biggest damn resonator you can fit. I suggest the HKS sport exhaust or Stromung exhaust. If you go with something custom, for the love of God, don't get crush bent. If you're hard up for funds, check out
HOME and see if they have a 2" or 2.25" exhaust piping kit for the b15 sentra or Spec V. Then you can choose the muffler of your choice (I suggest magnaflow....) and get the goddamn biggest resonator you can find. (not a cherry bomb or glasspack, those things suck balls and will sound like ass with a header...)
Trust me on all this, I know from experience
Oh and as for install....it should be self explanatory. Here's a suggestion on the o2 sensors........leave them IN the stock header while you remove it. Once the stock header is out, SOAK the o2 sensors in Pblaster for like 45 minutes. Purchase an o2 sensor socket....a GOOD one with a narrow split in it.......and a BIG breaker bar. Those will help you break those suckers out without stripping them. Those sensors=not cheap.
Other than that, make sure the header comes with new exhaust manifold gaskets, if not, order 2 new ones from your dealer or the net somewhere.