Where is located the EGR valve ,Thanks

The EGR valve recirculates some exhaust gases back to the engine intake to reduce oxidized nitrogen emissions. I found a whole thread on EGR valves in the MazdaWorld forums, which includes photos that will show you exactly where the EGR valve is (scroll down): http://forums.mazdaworld.org/index.php?showtopic=13174

is it a 4 cylinder or V-6?

Typically, the EGR valve is located on the valve cover gasket... be it a 4 or a 6 OR an 8 cylinder. There will be a smallish rubber hose coming out of it, approximately 1/2" to 3/4" in outside diameter. Most will just pop out of the valve cover gasket with a bit of force. So, pop it out, remove it from the hose, and reverse the process for the new one. When you put in the new one, if it's a bit tough to get back in the hole, take a bit of oil from around the rubber part of the old one and lube the rubber part of the new one that is going in.

Sorry Hannibal..That's called a PCV valve. The only thing you better have mounted on your valve cover gasket is sealant! If you don't actually know what your talking about best to just keep quiet. Thus not wast another persons valuable time.