I had this problem, its in the engine bay, not actually under the car. Its a rather big cup kinda thing. Its plastic, black and is pretty much right next to the engine block. Just to the right of where you actually put oil in. Took a bit of twisting, but it finally comes off. Beware though oil will spill out. Just pull the old filter out and replace with the new one :)
Ian Hughes
April 2005