there is only one hole for an o2 sensor on the megan header? wth? were the megan headers for 04-06? did you get the megan midpipe/downpipe?
normally both o2 sensors should go in the header for the 02-03 specv. if youre replacing the midpipe with the megan one, youll need to extend the wires if there isnt 2 bungs in the header, normally there is 2 bungs in the header unless they changed something. you have to solder these wires, using the same gauge wiring, since the o2 sensors are voltage specific. twisting wires, or using wire clamps, will not work for these o2 sensors, you will get an ses light. dont forget to put a pair of antifoulers on the o2 sensor in the midpipe.
your other option would be to add an o2 bung into the header in the correct location, which would require some drilling and welding. this would be easier if you havent installed the header yet. in this case you can just plug the o2 bung on the midpipe. im not sure how you got a header for 04-06 when you have an 02-03.
EDIT: according to megan racing, you should have 2 bungs on your header(so it fits both 02-03 and 04-06). are you sure youhave a megan header? maybe a megan replica header? an ebay header is similar quality as megan, and much cheaper, all are made in china. also, dont forget to keep your stock oem header if youre in a smog/visual inspection state.