Well this is too bad. I was using the info from the site I mentioned, so I assumed it was correct. Some vehicles don't come with a filter, but it can be modified to include one, I wonder if that is the case with this one. Why else would there be parts available? Anyway, sorry for the misleading advise, hope you were able to return the part.
Well, now I'm really confused. I went and bought a cabin air filter yesterday for my 2003 ZX2 at CarQuest. Today, I'm trying to replace it per the instructions at the referenced link and the directions don't seem to match up (no "cap on screw in center of cowl cover" and it takes a Torx rather than a philips and flat). But I've peeked underneath both the driver's side and passenger's side cowlings and can't see any filter in there. I then searched for more location info and found this: http://www.ford-forums.com/ford-zx2/33789-cabin-air-filter-02-zx2.html which indicates there may not even be one?