If you don't know where the EGR Valve is located, it is safe to assume that you did not properly diagnose your EGR system...how do you know the valve needs replacing?
If you are trying to fix a trouble code P0401 " Exhaust Gas Recirculation (EGR) Insufficient Flow" (This is a very common code with 3.1L GM Engines)
An EGR Valve replacement will most likely make you about $125 poorer than you were before and will not fix the problem.
Your EGR port into the intake manifold is most likely clogged up and needs to be cleaned out.
You will need a Throttle Body Gasket, an EGR Gasket, a can of ThrottleBody and Intake Cleaner, and a little antifreeze. (You will lose just a little when you remove the throttle body.)
Remove the EGR Valve and the Throttle Body. Use a screw driver or pick to chip out the carbon buildup in the EGR port going into the intake manifold. You will probably have to work it from the intake side as well as the EGR side to get as much of the black carbon out as possible. Be careful not to let this stuff go down into the intake plenum - you will burn some valves if it gets in there. Then use the Throttle Body and Intake cleaner to finish the cleanup. (It helps to take a rag and stuff it into the intake manifold just past the EGR port to catch the gunk so it doesn't go down into the plenum...just don't forget to remove the rag before putting the Throttle Body back on)
Put everything back together and top-off your antifreeze and clear your computer codes. That should fix it.