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Fuel filter is in the engine compartment, next to the firewall.
I think Lexmex is referring to the fuel pump which is mounted on to the fuel tank.
Actually, I think we are both wrong as I took a look at the manual. It is underneath the rear seat by the fuel pump itself. As I remember there is also something of a nylon sock like material also in the tank. I think in the ES it might be by the firewall.
If it is not inside the fuel tank. Would it be ideal to get this changed then?
From what I saw it shows one has to remove the rear seat to get at it and it is attached to the fuel pump itself.
I probably face the worse gas we might see (though I have met a few others with RXs in different parts of the world with some really bad octane and gas), but I really don't see the need if you are on Canadian or American gasoline.