The EGR valve is not on all Monty's, I know its on CA models, cause I have one.
If you do have one, its bolted to the intake plenum on the driverside, with a tube
running to it from the exhaust manifold. Typically the valve does not fail. What
usually happens is the plenum gets plugged, and is a real PITA to clean out cause
the EGR passage has a 180 deg bend. I had to remove my plenum, and have it
tanked and pressure washed. Real PITA.

Might want to read my post on this:http://www.4x4wire.com/cgi-bin/ultimatebb.cgi?ubb=get_topic;f=69;t=007577

Good Luck