Hey dbowlr I know exactly where it is because I installed one myself.
First off it is in a very difficult to see location.
Before you begin get a powerful flashlight. (very dark without a flash light)
Next get under the steering wheel and lay on your back.
Look up towards the door panel side under the steering wheel. You should see a row of blue relays (four of them) the second to the far right (should be 1 empty slot) which is the place to install the fog relay.
Keep looking since there is a jungle of wires but it is there for sure.
I have a 2005 but hopefully it is similar in location.
Try pushing your front seat all the way back to get extra room. The only way is to lay on your back to look up towards the door side. If it is impossible for you to do it get a friend to look at it. This is my no means an easy position to be in.
You do not have to put your head all the way up there. You should be able to see it laying down and reaching with your hands while doing so. Also place your head as close to the brake pedal.