2003 Volvo S40 Oil filter change and location of it

Oil filter is located on the oil pan. You need to remove the black oil filter housing and cartridge will be in the pan. You need a special tool to remove the canister housing. Using filter pliers can cause the housng to crack since it is plastic.

This is what the tool looks like. 86.5mm Oil Filter Wrench

You may be able to rent the tool from your local parts store like AutoZone, Kragens, or a Pep Boys but you would need to call them an find out.