In the driver's footwell. It is a 16 pin connector:



Thats out of a jeep or something but the connector looks the same.

EDIT: I do NOT believe the connector is wired the same. There are 3 different OBD II standards, MB's are ISO, not sure about Jeeps.

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Daily Driver: 02 E430 4MATIC
In the family: '03 E500 // '04 ML500 // 64 220SE