I had to replace the sway bar end-link on my 2000 S40 and purchased a Moog after market link from O'Reilly. The part is beefier than the original and comes with a grease nipple for each joint. The original parts are not equipped with grease nipples.
Since the part is a little thicker and the grease nipples are a little in the way it took me a while to get it in, so I figured I'd write a quick guide so the next person doesn't have to struggle as much.

1) take the wheel off
2)to loosen the old part you will need a 15mm open wrench and a torx bit to hold the bolt (not sure what size the torx is)
3)after removing both bolts use a pry bar to push the sway bar down and remove the end link.
4) insert the grease nipples in both joints and tighten them with a 10mm wrench. Leave the bottom one in place but remove the top one again. This way the thread is cut in the joint and it will be easier later to install the nipple, however it is not in the way when installing the link.
5)insert the bottom bolt and hand tighten the bolt so it does not come off.
6)use the pry bar to lower the sway bar and insert the top joint.
7) to tighten the bolts you will need a 14mm open wrench to hold the bolt right at the joint and a 15mm wrench or socket to tighten the nut.
8)insert the grease nipple into the upper joint and tighten it with a 10mm wrench.
9)put the wheel back on

Hope that helps someone

PS:
when inspecting the removed end link, this is how to determine that it needs replacement: when moving the joints in any direction they should move without noise or grinding but be pretty tight and stay in whatever position they are moved to. If the joint moves back into center position on its own, makes grinding noises or has any play it is worn out and needs to be replaced.

 

Thanks for the how-to. You would not happen to have pictures would you?

 

I didn't take any pictures but next time I got the wheel off I will take pictures. Should be pretty soon because I still have to replace the strut mount.