well the battery compartment located on the back left side of the console and as for the type i would recommend a Duracell DL-2032B 3V Lithium Battery Cell, they are very long lasting and you should not have to change it for a long time 6 yeard at least.
Yes, you should be able to find the battery in most electronics stores like Radioshack. The other brand for the batter is CR-2032 3v Lithium Battery Cell, so keep that in mind. Should sell for around $2-3 USD.
Also, if you have a spare Dreamcast VMU lying around, open it up and take one of the two batteries to use for your Saturn, it's the same type of battery.