There are usually two fuse boxes: one under the hood and one inside the car, typically under the dashboard on the driver's side. You'll need to consult your owner's manual. The manual will show you diagrams of the fuse boxes and indicate which fuses control the taillights (often labeled as "Tail Lamps," "Rear Lamps," or similar).
Important Note: Before checking fuses, make sure your taillights aren't working due to a more minor issue like a blown bulb. Replacing a blown bulb is much easier and cheaper than replacing a fuse or dealing with the BCM.