I had an '04 F250 6.0. The EGR valve is near the front of the engine on the passenger side. A small round device with a connector on top with (I think) 2 wires coming out of it. By lifting a catch on the side, you can unplug the connector.
You can go to
http://www.ford-trucks.com/forums/index.php and search for EGR valve. There has been a LOT of discussion about them. And someone posted some pictures of it.
Here is one specific thread about it with links to pictures.
http://www.ford-trucks.com/forums/28...tructions.html