It's under the rear seat. Look at the section about knee level between the two seats in the back. You will see to holes and a Harman Kardon badge. One hole is the port hole for the sub. The other is just there for looks. Atleast thats what its like in my CLK320 cabriolet (2005).
That's correct...of course, it's not a very good compromise solution by MB (I believe the coupe has a more typical and effective subwoofer in the rear shelf), as the porting and/or speaker size means that relatively little sound actually comes out.