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I don't know where it's mounted, but it's either in-line or in the tank. If it's in-line you should be able to see it by following the fuel line from the tank. Changing the filter will not change mileage, or at least not significantly unless the filter is clogged or otherwise not performing as it should be in the first place.
It should be under the hood, on the driver side, below the brake master cylinder. Milage could improve, but it will be negligable. Performance could also improve.