It is at the rear section of the transmission (assuming you have a t5) on the side, almost at the top on the drivers side. There are two gears, a big yellow one, and a little one. One is on the output shaft of the trans, the other one is just in a little harness looking deal that will be visible when you take it out.
He's right, there's an electrical connection that you pull, then unbolt the shaft with like an 11mm wrench or so. Pull the shaft out, pop the retaining clip off the gear, pull the gear out, put the new one in, and put everything back together. 10 minute process, as long as your catalytic converters are somewhat cool. I crawled under mine to change my gear and about burned the **** outta my arm cuz I had just got back from lunch.