On a 2003 Ford F-250 with the 6.0L Power Stroke diesel engine, the EGR valve is located on the
passenger side of the engine, towards the rear. It's nestled amongst other components and can be a bit difficult to see. You'll likely need to remove some heat shields and possibly other components to get a good look at it. It's connected to both the exhaust manifold and the intake manifold by hoses and sometimes a pipe.
Because of its location and the surrounding components, it's best to use a repair manual or consult online images and videos specific to the 6.0L Power Stroke before attempting to locate or service it. The precise location can vary slightly depending on minor model differences.