It's right underneath the dash on the driver's side. It's a white receptacle. However, most of the time it won't tell you anything useful unless you have very expensive specialized diagnostic readers.
I use it more for the extra gauges it gives you like the missing water temp gauge. You can also program more gauges if you car supports it with the XGauges.
OP, I had the same issue when I first got my MZ3. I was feeling for it and couldn't find it in the usual place. It is under the driver's side but I think its a little more over to the left and up towards the front more than other cars. I had to finally not be lazy and actually stick my head under there and look and it was staring me right in the face.
I have a bluetooth adapter that I can hook up to mine and then link it to my android phone. I then use the Torque app to get all kinds of nice information about the engine. Its pretty cool