Where is/are the fuel filter/s located on a 2006 Ford F-250 6.0L Diesel?

There should be two--one on the engine and one in front of the fuel pump (frame on the driver's side). I recommend that you only use Motorcraft fuel and oil filters on your PSD--alternatives can adversely affect fuel pressure.

Sorry, I am a major diesel rookie. Where exactly on the engine?

Here you go:

YouTube - 6.0 FUEL FILTER INSTALL (http://www.youtube.com/watch?v=czJNyDIn7tM)