I have a C not an E, but might be able to give you some help
Fuel filter is probably located next to the fuel pump (both are cylinder shaped ) under the car, to the right and just aft of the differential. They are protected usually by a thin plastic sheething.
If you go to the dealer to get a new filter, they can pull it up on the computer and you can see the assembly.
When you change the filter, disconnect the battery negative cable and open the fuel filler cap to relieve pressure.
A pair of hose clamp tools to prevent fuel from spilling - they squeeze hoses tight, and a bucket.
Also get two new hose-clamps from the dealer to attach the hoses to the new filter, toss the old hose clamps away.