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I've been trying to answer the same question with my 99 Explorer EB.
According to the Parts and Service departments at my local Ford dealership, this filter doesn't exist.
However, I replaced the cabin air filter in my 94 Explorer Sport, and they couldn't explain why it would exist in an older Explorer but not a newer one.
The filter (if it exists) is below the passenger side wiper. The plastic grill that has to be removed is slightly different than with my 94 Explorer -- I can't figure out how to remove it after removing the wiper arm, so I've ordered a Haynes manual.
If you haven't used the Haynes manuals, they're extremely helpful with this type of work. They can save you a lot of time and frustration.
Rezvani's Latest Post-Apocalytic Monster Is a Ford F-150 Raptor Underneath
Slideshow: Called the Fortress, the 850-horsepower pickup combines Raptor underpinnings with military-inspired features, survival equipment, and a starting price of $285,000.