I just wanted to revive this thread to show the location of the knock sensor I installed on my STi. This is the bosch sensor commonly sold with the knocklink. It's installed at the same angle as the stock sensor which is not visible in the pictures; I'm not sure if it makes a difference really.
In order to get the bracket to fit on top of the sensor, you can insert a 1/4" extension into the hole in the bracket and bend it slightly. I can't recall the length, thread, etc of the bolt, but I just pulled the stock one, drove to the parts store, and came back with one that was longer.
A quick tip - when replacing the intercooler (assuming you have a TM) use a touch of soap on the outside of the compressor outlet to make sure the rubber boot slides on easy : )