Where is the Headlights fuse located?

It doesn't have a fuse for the headlights, it uses the computer control board in the Totally Integrated Power Module (smart fuse box) to power the headlights. The only fuses for that are to the light control switch which doesn't actually control the lights directly, it simply sends a computer signal to the TIPM telling it to turn the lights on and off or high and low beam. To tell if that fuse is good is simple as none of the others lights would work if it has failed.
If it is only the headlights though I suspect the TIPM has failed, it's a very common failure item. Replacement isn't difficult as you simply disconnect the negative battery cable, open the TIPM and disconnect the positive cable. Next you release the 4 clips that hold it to the vehicle and remove the 7 connectors from the bottom. Reverse the process to install the replacement. Once installed you need to close the hood, then turn the key to the run position for at least 12 seconds, this will program the replacement TIPM to match your vehicle. Turn the key off, wait another 12 seconds and turn the key back to run and verify that everything operates as it should.