To find it, you'll need to consult a repair manual specific to your vehicle's engine. These manuals will have diagrams showing the exact location. You can find these manuals online (for purchase) or at a local auto parts store.
Generally, knock sensors are located on the engine block, close to the cylinder block itself, often near the oil pan or lower intake manifold. They're usually threaded into the engine block. However, without knowing your engine size, it's impossible to give a precise location.