Sajdah Sahw is a Sajdah which is made in the last sitting of namaaz when a person forgets to do an act which is prescribed as Waa jib (Necessary) in namaaz.
If you forget to sit in the second rakaat (Qaidah oola, (the first sitting in a four rakaat namaaz)), then you have to perform Sajdah Sahw. YOU SHOULD NOT SIT IN ANY OTHER RAKAAT INSTEAD!
When you are sitting in the forth rakaat and you know that you forgot to sit in the second rakaat, then after Tashahhud ( Attahiyyaatu……),
You should make one salaam to the right side only and perform 2 sajdah’s (as normal in a normal namaaz, but you do not have to stand up),
When you sit again, then you should start to read from Tashahhud (Attahiyyaatu…) again and complete the Salaah as normal.
This is according to Hanafi Mazhab.
If you do not understand this, then please feel free to ask.