Where is the cabin filter on a 2006 Volvo s40?

It is on the left side of the evaporator case. You will need to remove the accelerator pedal to gain access to it. I have heard of some "butcher" type mechanics that will just rip the old one out and shove the new one in with the pedal still in place, but the proper way is to remove it. Get a few non-lock type 6mm nuts to put the pedal back on with as the original nuts are self locking type. You need to be a pretty "flexible" person as the area you are working in is quite small and tight.