The exact location of the htaccess file for your WordPress site will vary depending on your web host, but it is usually a file named .htaccess on the server root directory.
Since it is a hidden file (indicated by the dot in .htaccess), you will need to make sure hidden files are shown in your FTP client. Also, depending on the administrator settings in your file manager, not all users may have permission to access and/or edit this file.
If there is no .htaccess file, WordPress may have not created one for you yet. To generate one, go to Settings > Permalinks in the left sidebar of the admin area, and click Save Changes (no actual changes need to be made).
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