SR20DE is SR20DE, it should fit fine. I'd double check though, call pacesetter or hotshot or someone like that. Check part numbers for the same header between a 94 and a 99 and see if they're the same. The only thing that might be an issue is your O2 sensor(s) and some headers have an EGR tube hole, which if you don't need it you'll need to plug the hole. No big deal though.
I thought the other O2 went down by the CAT? You could have the header customized to work, yeah, but how much are you willing to spend to do that, if you can't do it yourself or have cheap help. What header is it and how much? The pacesetter is under $200.
You can use any SR20DE header on any SR20DE car (RE: US Spec'd). The only difference is on the '91-94 SE-R and '91-'93 G20, you will use the lowest bung for the AIV tube. On the newer engine, the AIV was removed and is not needed. In that case, you will need to buy a AIV bung plug (COurtesy carries them for around $5 I hear) and screw it in there instead. Everything else bolts right up the the engine and catalytic convertor.
Hey now, don't be disappointed in the Pacesetter my man, and $40 is a steal! The only problem with Pacesetters is their crappy paint, if you don't get the ceramic coated one, and they sometimes crack. Nothing a welder can't fix. Shit, if it's only $40, first thing I'd do is have the tubes welded to the plate better, put that AIV plug in, strip all the paint off and have it cermic coated. You'd have a damn nice header. When I start modding the SE-R, I'm going to buy the pacesetter header and cat-back exhaust, brand new, and I'm going to do those exact same things to my header (Except the AIV plug). I finally sold the XE today, let the guy have it for $1900 because I'm sick of it sitting out in the driveway. So now that money will get socked away for mods next spring on the SE-R. It was sad to see the car go, it's a great car. Don't know why it was so hard to sell? People just suck I guess. Oh well, he bought it to replace a rusty '89 B12 with 146K on the clock, still running strong. He used to own a '91 SE-R that he bought new for his wife, so I know the car is in good hands. But I digress.