Where is the catalytic conveter located?

Well the cat conv will be in exhaust system and will likely be the largesy diameter part after the exhaust manifold. If you are going to change then have it looked at to see what caused the smell from there. If just replace cat conv and do not fix what caused it to go bad then you have to start all over again.

Incomplete combustion can cause the converter to give off a sulfur smell. The rough running is almost certainly the cause. Get the vehicle to a shop or you may destroy the converter, or worse.