It depends on the car. On most cars, it’s in line with the fuel line and attaches to the firewall with a couple of screws. The problem is, engine bays on modern cars are really crammed full, and you often have to remove something else to get to it. Here’s a blogger’s account (with some useful pictures) of his 1993 Accord:
http://ldsdates.com/blog2/2009/04/07/how-to-change-the-fuel-filter-on-a-93-honda-accord/
Start by getting a repair manual for your car. Alldatadiy.com has online manuals for lots of cars, although a paper version might be more useful.