The fuel filter is under the car, next to the rear passenger side tire. It's under a black protective covering that is simple to get off.
I would definitly put a bucket under it when you change it. I didn't change my own, but when my mechanic did, he had some trouble getting it back on. It kept leaking! He finally got it though. But just be extra careful when putting it back on, making sure that it's not leaking.
Other than that, use OEM filter, preferably BOSCH. Any other questions, please ask. And also, let us know of your results!
2006 E350 w/ 155k miles (Daily Driver)
1993 300E 3.2L Sedan w/ close to about 300k miles
2003 E500 Brilliant Silver (Had 217k miles when totalled!)
1989 300E with 289,000 miles (had for <1 yr while in HI)
03 CLK 500 cabrio (Mom's)
2006 C230k (Dad's)
1999 S420 (Mom's/Dad's)
2000 C230k Sport sedans
2001 CLK320 Cabrio (Mom's)
1995 C280 My First Mercedes-Benz... (155k miles. EXCEPTIONAL AUTOMOBILE. Was Very hard to let go of!)