The control module (likely referring to the Powertrain Control Module or PCM, sometimes called the Engine Control Module or ECM) in a 2006 Chevrolet Cobalt is located
under the hood, typically on the passenger side of the engine compartment. However, its exact location can vary slightly depending on the engine and other options. It's usually attached to the firewall or a nearby bracket. It's a fairly large, rectangular black box with numerous connectors.
To be absolutely certain, consult your owner's manual or a repair manual specific to your 2006 Chevrolet Cobalt. A visual inspection with the hood open is also recommended; look for a large, black electronic box near the engine and firewall.