Where can I find the .htaccess file?
It can be in every directory. But in directory structure for a web site this file is usually only in root directory of the web site.
On Unix/Linux/Mac file systems a file starting with a dot in name is a hidden file. So the file has as name in real htaccess and the dot at beginning in file name makes the file hidden on Unix/Linux/Mac file systems.
So you have to configure the FTP account in UltraEdit to list also hidden files to see this file in the directory listing. On tab Server enter for LIST command filter -a to run on server the list command with this option to get from sever the directory listing with hidden files and directories too.
BTW: If you don't know such basics about file .htaccess, you better don't touch it.