Some cars have them in the fuel pump itself (for carburetor engines) or you can find them at the end of the fuel rail (for fuel-injected engines).
If the fuel pressure regulator in your car is inside the fuel pump, remove the wirings so you can take the fuel pump apart.
Detach the rubber hose and the fuel pressure regulator. While you're at it, you might as well replace the filter of your fuel pump.
Install the new fuel pressure regulator and attach the rubber hose. It is recommended that you use a new rubber hose.
You may have to heat both ends of the rubber hose so you can easily fit it into the fuel pressure regulator.