I'm not familiar with your vehicle (I'm in the UK). However, the EGR valve is usually connect to the air intake.
Look for a 'unit' that is connected to the air intake via a tube.
Here's a link done with a general Google search for '2006 Cadillac DTS egr'. Hopefully you will recognise your own egr valve amongst the images:
2006 Cadillac DTS egr Google Search
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