usually you can find it in the root folder of your website - htdocs, public_html or whatever its name may be depends on your configuration.
do you use windows or linux as your server's OS? ... on linux files that have a prefixed dot (like .htaccess) are hidden. so you have to tell your FTP-client to show hidden files as well. if you use the linux console, change to your website-root and type 'ls -asl' that will show you all files in the driectory, including hidden files.
there are several pages on that mod_rewrite/.htaccess topic, because that would be way too much for this forum ;)
you also should check your httpd.conf (apache_install_dir/conf/httpd.conf on Win, /etc/apache2/httpd.conf on most linux systems) if mod_rewrite is properly enabled and so on.
if you find sth similar to
#LoadModule mod_rewrite someweirdfilenamethaiactuallydontremember.so
change it to:
LoadModule mod_rewrite someweirdfilenamethaiactuallydontremember.so
On Linux boxes you may just type 'a2enmod rewrite' as root and restart apache with '/etc/init.d/apache2 restart'