Where is the transmission filter located? I've replaced the ATF but not the filter. Car is still shifting a little rough.

 

The filter is inside of the transmission. It can only be change at an overhaul. You can try take the solenoids out and clean them along with the pressure switches.
Only the later Honda/Acura with the 5AT, 5sp auto will have an external "spin on" that can be change with out opening the transmission, but there is still one internal filter.