Under the engine above the axle. Can't miss it, it has an oil filter access hole (with a removable round plastic cover). Unless the axle is at full drop it's a PITA to remove unless you just rip it out in there.

My friends 03 still has it and I kinda like it vs my 99 & 02 which only got a small splash guard from the factory vs the 03-04 unit.

 

I just reached down with wobble extension and 7/8" socket, mine unfortunately was tight. I know the oil pressure sensor is another potential area of leaks, I can't see it though. I'm going to have to try harder to get the fan off.