Given the nature of your question I would add that if you can't identify the fuel filter after about 5 minutes of pulling access panels under births and such you should seek professional help.
It is kinda scary the way you asked the question. Fuel filters filter fuel so you don't need to check the anchor well, the mast head or the engine exhaust, you need to check the fuel supply line from the tank.
IF (and that is a big if) you have the "normal" rancor fuel filter it can be checked by looking through the transparent side at the filter element (pleated paper cylinder) for the build up of "gunk"
It should be inside the engine compartment in front of the aft berth. Like Bill indicates, follow the fuel line. When you open this primary filter be ready to be able to bleed the air out of the fuel lines.
it's not in the engine compartment:
Under the aft berth, as you face aft into the cabin, the water heater is under the access cover directly in front of you. There is another access cover to the right (facing aft) of the water heater and the filter is in that compartment on the forward edge. It should be a racor 2oo series fuel filter/water separator. The standard installation has a metal bowl under the filter and you can open the drain - into a cup! to check for water, but if you haven't found it yet I'd just replace the filter element. close the fuel shutoff on the tank, Put some absorbant sheets and a plastic bag under the filter, then put a gallon ziploc around the filter and unscrew it. mount the metal bowl on the new element, fill the element with clean diesel, and screw it onto the head. There should be a bleed screw and a pop-up priming pump on the top of the head. open the fuel valve, pump the priming plunger until you get fuel out of the bleeder, then close the bleeder and try to start the engine. If you're lucky, whatever air got in will work through and you're done. If not, you'll have to bleed the engine by cracking open the forward fuel injector line and cranking until you get fuel around the fitting - then tighten
Thank you all. We are two hours away from the boat and the mechanic who is performing the work is very competent but more dedicated to power boats than sail boats. He knew the filter was in that general area but wanted to avoid a disruptive search. He and has agreed to jump into the breech to help solve the overheating problem (described in this forum two weeks ago) that was exacerbated by the new sail boat repair service owner. Your various comments will help him.