Where is the EGR valve on a 2003 GMC Sierra 6.6 duramax diesel 4x4.

hope this helps? should do it for you.
https://www.justautorepair.com/multimedia/1-belts-diagrams/detail/129-diesel-belt-routing

if the leaks are not evident in the engine bay , it could be the heater in the cabin

Under hood in power distribution box stud 1 40 amp fuse

A.T., VIN model "C" (4x2), TH400, 6 cyl
A.T., VIN model "C" (4x2), TH400, 8 cyl, 8-305 (5.0L)
}A}}400}466495" type="radio" name="userInterchange" />A.T., VIN model "C" (4x2), TH400, 8 cyl, 8-350 (5.7L)
}A}}400}466496" type="radio" name="userInterchange" />A.T., VIN model "C" (4x2), TH400, 8 cyl, 8-379 (6.2L, diesel)
E>}B}}400}466497" type="radio" name="userInterchange" />A.T., VIN model "C" (4x2), TH700, diesel
A.T., VIN model "K" (4x4), TH400, 6 cyl
B@}}}400}466499" type="radio" name="userInterchange" />A.T., VIN model "K" (4x4), TH400, 8 cyl, diesel
A.T., VIN model "K" (4x4), TH400, 8 cyl, gasoline
A.T., VIN model "K" (4x4), TH700, diesel
FFC}B}}400}466502" type="radio" name="userInterchange" />M.T., 4 spd, 4x2, VIN model "C"
FFC}A}}400}466503" type="radio" name="userInterchange" />M.T., 4 spd, 4x2, VIN model "R"
ECB}B}}400}466504" type="radio" name="userInterchange" />M.T., 4 spd, 4x4, (VIN model "K")
M.T., 5 spd, 4x2
M.T., 5 spd, 4x4
A.T., VIN model "C" (4x2), TH700, gasoline
F=A}B}}400}466508" type="radio" name="userInterchange" />A.T., VIN model "K" (4x4), TH700, gasoline
}B}}400}466509" type="radio" name="userInterchange" />A.T., VIN model "R" (4x2)

If it cranks and won't start then it is probably your glow plug system which is used to help with starting as diesel engines have no plugs and rely on compression. It also helps to run a lighter oil in the winter so it will crank faster. You can ohm out the plugs to see if they are broken. I am not sure of the wiring on the GMC but usually diesels have several wired in parallel

This is what i would try (cheapest first) redexe/wyyns
injector cleaner,double dose,then i have put 1gal gas in 10gal diesel to increase burn temp (you may encounter a hot start problem temporarilly)then if still smoking, get a compresion check on the engine(this will tell you volumes)
by the way the NATO tanks put in 1/3 gas in diesel to stop it freezing in arctic conditions.any more than 1/3 can result in problems.

To reset the oil life......turn the key on....do not start....pump the gas pedal 3 times within 5 seconds.....then turn the key off and back on and it should be reset....sometimes u have to do it a couple times.......and what heater fan r u talking about?.....

Once you are able to identify the EGR, you simply unbolt the valve and ant other obstaructing part. Clean its surface of carbon. Repalce the gasket if worn. Any sticky bolt/nut that you encounter could be removed by spraying some WD-40 around them. Also disconnect the negative wire of the battery first. Diesel do run hot, so get ready for some hard bolts to loosen.

Problem with Diesel Fuel System. Gmc 2002 duramax 2500 HD 4x4 will start 

I have found that when you are going to engauge 4x4 high, it is best to only be going about 3 miles an hour. Not faster, not stopped. It likes some movement to help it mesh. I've had perfect shifts since I started this. Hope it helps. Wade.