On my '99 ML430 it at the rear of the engine...kind of a pain to remove and "snake" out....on the 430 don't damage the plastic MAF "snorkel" on the rear of the engine. If you look carefully you will see an arrow pointing in the direction of a lever that you press to unlock it.
There's quite a bit in the forum on EGR...just use the search engine
here's one link:
http://www.peachparts.com/shopforum/showthread.php?p=1290750#post1290750