2000 Chevy Cavalier air cabin filter odor

Smells problem
2000 Chevy Cavalier Automatic

From reading some car repair sites, be believe our problem is a bad cabin filter. But we don't even know if we have one and where it is located. Can you tell me if we do and where it is? We have a terrible musty/mildew odor. Also, the a/c doesn't drip outside the car like most cars do when the a/c is on. Would/could that be the same problem? It doesn't seem to be stopped up (the drain isn't).
thanks!