I own a 2002 Mazda Protege5 with the FS2.0 Motor. The EGR Valve is located below the throttle-body. You must take off the Intake tube to get a good view of it. To replace it I think you might have to take off the throttle-body, but I'm not sure about that...(yet)
NOTE: Mazda put out a technical note stating that "if your car has sat for a long time, the egr valve could be damaged by moisture (rain) and will need to be replaced". My 2002 Protege sat for 3 weeks and the rain caused this exact issue and had to be replaced. How did I know? The engine light came on (after never coming on) and the car had an extremely rough idle. Total cost was ~$400 (ouch).
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