It comes off the diagnosis port. I just noticed it today. Can anyone tell me where it goes? Thanks.
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I think that wire comes up just to the left of that grey lid on that port. On mine it has a black top to it where it mounts there. Anyone have more light to shed on this?

 

Looks like it comes out of it and attaches to a little electrical connector that is hooked on the side of the fuse box. Hmm... never even noticed that before. It has a black cap on it, I took a pic with and without the cap on there.

 

Thanks a lot guys, I appreciate it. I actually remeber that connector with the black plug on it now that you've mentioned it My99. I wonder what the heck happened to mine.