What year car do you have? I believe this is intended for 97-03. On an 02 recently I found the connector taped to the outside of the loom on some of the wiring, and it was right behind the glove box.
It is a real pain to find. It is under there, near the fuse panel. You typically have to dig. I have seen it taped to the harness before.
Steve
ZZPerformance.com
If I recall correctly, the forum consensus on trans coolers is that they're just a source of extra leaks, unless you tow things.

Even ZZP says not to run a trans cooler.If I recall correctly, the forum consensus on trans coolers is that they're just a source of extra leaks, unless you tow things.
They also sell voltage boosters that overcharge your battery. LOLEven ZZP says not to run a trans cooler.