where is the transmission pan located?

Should be located on the driver's side of the engine underneath the transmission. Check that the Mazda doesn't use a screw-on type filter, like the Saturn does, in which case there is no pan, only a drain plug.

if it is an automatic then it will be the Black pan on the left side of the motor on the underside. if it is a Manual then there is a 22 mm (i belive it is a 22 or it is a 17mm) drain plug towards the bottem of the case and the fill plug will be about 6 inches above the drain plug. (replace all crush washers)