[cos]

That's strange because the Mazda 6 (which are beloved Fusion basically is) comes with one:
http://www.mazda6tech.com/index.php?option=content&task=view&id=43&Itemid=57

And this pic (from another post on this forum) shows the area under the passanger airbag where the filter would be (is?) located and there is certainly something "fliterlike" looking in that dash:

 

[cos]

I just went out to the car and had a look behind the glove compartment with a flashlight - it's not the same as the Mazda setup - I don't look like there's a cabin filter in that area. It seems awfully strange that Ford would get rid of it after Mazda had designed it in there. I'd love to know why! I thought almost every new car came with one or at least the plumbing for one like the Escape has (no filter from the factory but you can install one, which I did). For a car that's a restyled and stretched Mazda 6 it sure seems to have a lot of differences - everything seems to be stamped with "FoMoCo", not that I mind that.

 

[camsdad]

I have not looked yet, but on my '96 Contour (traded it for a 99 Grand Prix, which I then traded back for the Fusion-- I missed the 5 speed, and now my wife can't take my car like she did with the GP), the air filter was accessed by removing the plastic moulding at the base of the windshield. It may be accessed from under the hood...just a thought.. PS I actually thought your same question when I took that picture and saw the foam.

 

[cos]

The Escape's cabin filter housing is also at the base of the windshield.

 

[lammer]

I recall reading somewhere that the FUSION has no cabin filter, but the Zephyr does...

I don't recall where I saw this info though. Since I don't remember the Milan being mentioned I suspect it was from the FOMOCO Canadian site... those were the two models I was seriously considering and researching.

 

[SoCalFusion]

No cabin air filter in the Fusion.