The vehicle speed sensors on these are quite common for failing and as said above can be a complete bastard to replace if the pin which secures it in place is seized.

To check whether the sensor is faulty, it may be worth putting it on a diagnostic machine and go into the live readings/data logging/measured values (whatever you wanna call it) and there should be a function to read vehicle speed. Take the car for a drive with it plugged in and see if there is a reading. If it reads a value, it's unlikely to be a sensor fault.

Try that first as you'd be proper pissed off it you spend a whole day changing it and it still doesn't work!!