Pointing towards the floor - right between your legs
It's attached to the lower dash/steering wheel panel. If you're wanting to have something permanently connected to the OBD2 port you'll have to detatch it from the panel and tie it up behind.
It takes a bit of effort, but you can release it with a screwdriver. I have a poor picture of mine while I had that panel off on the weekend... soo poor I'm not going to upload it.