The EGR valve on a 1997 Mazda 626 2.0L is located on the intake manifold. It's generally toward the back of the engine, near the firewall, but the exact position can vary slightly depending on specific engine variations. You'll likely need to consult a repair manual specific to your vehicle's year and engine code (found on a sticker under the hood) for a precise diagram.
Looking at pictures of the engine online (with your specific engine code) can also help you locate it. It's usually a small, rectangular or cylindrical component with a vacuum line attached. Be careful when working near the intake manifold as it gets very hot.
