Well if its the same as on a W124, its underneath the car on the drivers side underneath a large plastic cover slightly in front of the rear wheels.
Remove the large cover & you should see a large aluminium coloured filter. Clamp off the pipes using a hose clamp or mole grips with a socket over each jaw. Then carefully unbolt filter with a rag wrapped round the bolt so that the pressurised fuel doesnt go all over you. Be ready with a container to catch about a mug full of fuel from the filter as you unbolt the filter.
As with any flammable fluid, try not to spill too much or get it on your clothing and make sure you are doing the job in a well ventilated are with no naked flames or lights of any kind around or the consequences could be fatal. If in doubt, get the job done by a garage.