Hi Laurent,Hi David,
It is located behind the front bumper on the driver's side, attached to the large silver electrical motor. It is blak and looks like a soda can and sticks out to the front of the car. You need to lift the car though, either with a jack or on a bridge. I couldn't get to it without having lifted the car.
Thanks for the info. I could definitely feel that the wheels were free to move when I started the procedure, and that they became locked as I turned the screw clockwise. So in some sense, I succeeded in putting the car in P. But when I powered up again, I still had all the P,R,N,D lights on (plus the Service PRND message) and was unable to choose a gear. I tried also turning the screw (almost) all the way counterclockwise: this made the wheels free to move again, but didn't change the situation when I powered back up. So this doesn't seem to be a temporary glitch in the parking prawl. I should check for breakages in the wires/connector leading to that motor, but if I don't find any I will probably have to take it to a mechanic. At least I know how to free up the wheels so I can push it out of the garage!