You need to buy a dipstick from a dealer (Only used to check, not left in while driving). Tube will be in the back of the motor with a cap on it and safety tab that must be removed.
I have found a lot of detailed general information on the W210 forum (E class). If you look in the stickies there is a write up with pictures for just about any thing you would ever do on a Mercedes. General procedures like checking trans fluid, filter change, brake fluid flush will be similar across the models.
See this thread. http://www.benzworld.org/forums/w209-clk-class/1495833-where-insert-transmission-dipstrick.html
Transmission oil does not get 'consumed' like engine oil, so normally it doesn't need regular checking.
Do you have any signs of leakage from your gearbox?