Awww... of course. A European model just may not have the Generic OBDII connector. It was mandated in 96 (OBD II) for every car in the US to be sold with the adapter to be within 3 feet of the driver's seat (if I recall correctly).
So that makes sense you wouldn't have one. My mother used to have an 01 CLK and it is there (US spec car). Your car, presumably, does not have one.

The MB Star system access (38 pin) is found under the hood where the car's ECU's are. This connector is in the rear-passenger (LHD models) corner of the engine compartment. If you're looking into the engine bay from the front of the car, then it's in the rear left corner. It is, however, covered by a plastic panel.

CYA!

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2006 E350 w/ 155k miles (Daily Driver)

Previous:
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!)