try going to the parts store and buying a chilton manual for the make and model of your vehicle. It has diagrams and step by step instructions. It will cost somewhere around 30 dollars of so and if you ever need to fix any other part of the same vehicle you will have it at your fingertips.
behind the glove box
Yes. It is located behind the glove box in the A/C housing between the blower motor and the evaporator.
you are better off leaving the factory CD player because the theft system, pwr locks, etc. are all connected through the CD player and will not work if u remove it unless u re-wire the factory CD player to the trunk.