The EGR valve is on top of the engine at the back on the driver's side. You can see it just before the transmission dipstick in the following link (the cylindrical shaped thing with a connector on top).
http://www.automotiveforums.com/vbul...d.php?t=746374
I'm not sure, but you might want to ask at the autoparts store to see if it needs a gasket, just to prevent you from having to run to get one.
Oscar.