The egr valve is located around the throttle body. Grab a repair manual and it will tell you more about it. It may just need to be cleaned or possibly replaced but they do often need to be just cleaned.
i would search Jrichker's posts for his 'code 33' posts. great info.
the EGR consists of the valve, position sensor and solenoid (amongst other stuff - those are the biggies). sometimes just cleaning it helps a lot, sometimes the position sensor is out of calibration and sometimes the solenoid goes south (does not send the vac signal when it should).
Joe's posts on EGR stuff (searching on all the EGR related codes - in the low 30's, can help give one the big picture of how it works together) are great and systematic for troubleshooting.