There are two different 4.0L V6 engines, but fortunately the description of location of the Coolant Temperature Sender is the same for both. Per the 1998 Factory Service Manual (your 1996 should be similar) the location is the center of engine compartment, behind alternator bracket.
If you ordered the Coolant Temperature Sensor, you probably received the wrong part. The sensor is for the PCM, the sender is for the gauge.
I looked today to find the temp gauge sender and it is not at that location. What is there is a bypass kit adapter that was installed years ago on a recall to help the engine warm up faster in the winter or colder months. Still can't find the temp sender where they moved it I don't know very few people at ford can even find this recall in the computer or the parts for it sense it goes back to around 1999. Need help on this on bad need to find sender.
Well, you know it needs to be mounted in a coolant passage, and since heat rises they'll typically be high on the engine block/head. I guess if it's not near the thermostat housing like the factory service manual says it should be, it's probably in that area somewhere. Fortunately there are only a finite number of areas where it could be.