Where is the actual footnote located? I'm afraid that depends on which version of the story you have (which publication, and which translator). That will determine its location.
If you visit the Yates translation found at the first website indicated below, you'll find the footnote all the way at the bottom.
If you're asking who or what the footnote refers to, that's a more complex question, one that gets into Borges' style. It could be a false note from the narrator; it could be, as it says, a footnote from the editor. It is definitely a "forking path" from Borges himself, to lead the reader astray.