On a 1996 Ford F-150 with the 4.9L (300 cubic inch) inline-6 engine, the EGR valve is located on the
intake manifold. It's typically near the back of the manifold, on the passenger side of the engine. It's a fairly small, rectangular valve with a vacuum line connected to it. You'll likely see a vacuum hose connected to it and possibly a wire for an electrical connector if your truck has some sort of EGR system monitoring.
Because it is nestled in amongst other parts of the engine, you will likely need to look carefully and possibly use a flashlight to locate it. A repair manual or a picture of the engine bay for that specific model year would be helpful in pinpointing it's exact location.
