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The thermostat is situated on the right hand side of the engine (attached to the top of the block or head I think), you can't miss it; there are about 7 pipes going to the housing.
The thermostat and housing are integrated so have to replace the entire housing which costs about £50 to £60. Takes about an hour or so to do.
Loosen and remove the pipes in a suitable order and remove the temperature sensor from the housing. Once all this is free and you've removed the two retaining bolts, you should be able to just ease the thing off.