Any idea where it is located on the car?

You're kidding right?

The third brake light on a sedan is generally at the bottom of the back window, top of the back window, or on a wing. Have someone step on the brakes while you are out back looking to see where it lights up.

If u have a U.S. version of the 528i, the 3rd brakelight is usually on the rear package shelf just inside the rear windshield on the centerline of the car. Are u sure that ur car has a third brakelight? Could it have been somehow missed during assembly? If yours is a newer car, could it still be under warranty? Check with ur local dealer. Electrically, the third brakelight should be tied to the left rear brake light. If it is not working, there should be a dashboard indicator saying that there is a brake light problem.

l believe u are talking of the E 28 model 528i.
Is on the rear windshield on top of package area centre.
usually is sticked on with double sided tape.
Some cars have a wing on the trunk and is fitted in the centre of the wing.

mine is built into the centre of the wing