In simpler terms, it takes some of the already-burned exhaust gases and mixes them back with the fresh air/fuel mixture before combustion.
Finding the exact location on your specific Caprice will require consulting a repair manual or searching online for diagrams specific to the 1992 model year and engine (likely a 5.0L or 5.7L V8). Generally, it's located somewhere near the intake manifold, but the precise position can vary slightly.