On the PSA diesel engine variants, it's behind the motor under the airbox but offset to the right (standing in front of the car). It should have a "Valeo" mark on it. Hard to miss.
When you look down there, you'll see a silver cylinder, that's the exhaust gas cooler. On the right hand side of the silver cylinder is the EGR. You'll need a special clamp to refit the EGR if you remove it.
I can try and snap a photo, but it might be tricky with the airbox in the way. It's also dark and snowing right now...maybe tomorrow if you're desperate for a snapshot.