It's just to the right of the EGR valve looking at this picture.

http://www.peachparts.com/shopforum/attachments/tech-help/77580d1266653140-400-sel-breaking-up-around-1500-rpm-dsc00115.jpg

With the engine running, pull the connector off. You will know you got the correct plug if the cooling fans shift to high when the connector is removed. Be careful if you have an old wiring harness, the insulation will fall off when you unplug it.

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1993 400E, 256,000 miles (totaled)
1994 E420, 200,000+ miles
1995 E420, 201,000 miles