It should be between the hard line which comes from the tank and the injection pump. It will be a small normal looking plastic bodied filter like the ones used on older engines with mechanical fuel pumps.
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[SIGPIC] Diesel loving autocrossing grandpa Architect. 08 Dodge 3/4 ton with Cummins & six speed; I have had about 35 benzes. I have a 39 Studebaker Coupe Express pickup in which I have had installed a 617 turbo and a five speed manual.

[SIGPIC]
..I also have a 427 Cobra replica with an aluminum chassis.