Where is the fuel filter located?

The main filter is located in the fuel tank as part of the fuel pump assembly. It is replaced with the pump. They did offer a second fuel filter in line with the system, but it is not really common. That one is mounted underneath the rear of the car just in front of the fuel tank.
It uses a quick connect fitting on one end and a wrench on the other. For both of them you need to bleed off the fuel pressure. Then for the in tank you have to drop the tank out and release the pump retaining ring. Then remove the pump to install the new one. In both cases the filter is recommended to be replaced at 120K but only if the vehicle is exhibiting signs of fuel starvation.