On a 190e and a 300e, and probably your car, It's a little black box about the size of a cigarette packet, with around 7 pins on the bottom on the right side, and 3 or 4 on the left side.
In these cars, it's found behind the battery, next to large metal boxes that are engine ECU and abs ECU. There's a chance on your W126 car, it's inside the cabin behind a panel in the front footwell's - anyone confirm?
Next time the car won't start, see if the fuel pump runs for a second or so when you switch the ignition on - it should buzz. If not, the relay most likely isn't switching on so replace it. (I actually repaired my, a bad solder joint).
2.5-16v 1990 90,000m Astral Silver
2.0E 8v 1986 107,000m Black