On a 1996 Ford F250 Powerstroke diesel, the fuel filter is located
on the frame rail, near the driver's side fuel tank. It's usually fairly easy to spot because it's a cylindrical canister, often with a noticeable fuel line connecting to it.
However, it's always best to consult your owner's manual for the exact location and specific instructions for changing the filter. Pictures in the manual will be invaluable.
