I had installed Doug Thorley headers on my 2006 Pathfinder, which is similar to the D40 Frontier, and then had the right side converter fail and had to replace it.
Removing the fenderwell liners is a must. Make sure you get some new, plastic, push-pins as many will break when you try to remove them; I believe there are four per side. Soaking down with rust penetrant is a must, but, you'll likely break at least a few of the heat shield bolts on the manifold. This all the more reason to install some headers! I think the only way to get the passenger side out and in without cutting it out is to undo the right motor mount and raise the engine up on the passenger side. I cut mine out using a hand-held Ingersoll-Rand air saw and cutting one piece at a time. It was a real pain! I also removed the bolt & bracket from the brake block that attached it to the frame, which allowed me to move the lines a bit. Once the shield is removed, you can get to the top bolts of the upstream converter. For the bottom bolt, you can get that from the bottom of the vehicle. Of course, don't forget to remove the air-fuel sensor. I used a Walker direct-fit catalytic converter and it worked great! I got a great deal on it for $90 from a place that sells scratch-and-dent items. Once unbolted, it can be pulled through the bottom (of course, you'll have to remove the secondary converters before that point). The left side shield can be carefully pulled through from the top once you get it unbolted. The next issue will be drilling out those broken bolts from the manifold if you plan to re-install the shields. Hmm-mmm.... Headers are starting to sound good, again! Once the heat shield and converters are removed, the headers are a piece of cake! You can get some pics of what I did here (the exhaust starts on page 2). I also replace the post-cats with Doug Thorley mid-pipes and the main muffler with a Magnaflow 12580: