Okay, that piqued my interest as well, so I decided to take a look under the hood of mine also (got some strange looks at the employee parking lot while I had my head in there).
The picture in the Haynes manual looks like the connector on the water pump, but I can't seem to find the d@#n thing either! The manual also states that it is located on the upper part of the left side of the cylinder head, and to not confuse it with the temperature gauge sensor.
If you have the 2.8 or 3.2L engine, it's probably visible if you remove that black plastic panel next to the valve cover on the left hand side.
I am going to look for it again tonight (in the privacy of my garage this time)...
2009 ML350 (84K) - Family vehicle
2001 CLK430 Cabriolet (71K) - Wife's car
2005 BMW 645CI (124K) - My daily driver
2012 Mustang V6 (60K) - Daughter's car