On a 1996 Ford F-150 with a 5.0L engine, the EGR valve is typically located on the intake manifold, near the rear of the engine, on the passenger side. It's often relatively easy to spot as it's a small, rectangular-ish valve with vacuum lines connected to it. However, the exact location can vary slightly depending on specific engine modifications or aftermarket parts.
To be absolutely certain, you should consult a repair manual specific to your 1996 F-150 5.0L. A diagram in the manual will show you its precise location. You can also find diagrams online, but always double-check with a reputable source.