Well if it is in the same spot as the 2002 it is on the bottom left had side. I used a set of pliers and if I remember correctly it doesn't come all of the way out.
Lower left hand side if your facing the front of the car on our 01 & 02. From the driver's seat, it's on the right. And, yeah, don't remove it (or try to remove it) completely. A few turns and it'll flow pretty well. If possible, park (backwards, facing down) on an incline (driveway works well) and open the cap to aid in draining it completely. Then, when filling, reverse this, or better yet, put the front up on ramps - this will help avoid getting air trapped in the system.
Be very careful when screwing it back on. I used a socket and ratchet and managed to twist the plastic nut right off, leaving the plastic plug inside the radiator. Next time I drain it I'll have to remove it completely and replace it. Suck.