All cars have a sock on the in tank fuel pickup/pump, that's a filter but not "the fuel filter".
Your 1986 EFI will have 2 fuel pumps, the low pressure pump in the fuel tank, and the high pressure pump(needed for EFI) in the frame rail under drivers seat area.
Fuel filter will also be in that area, it may be canister type where plastic cap unscrews and filter is a cartridge/insert that you need to change.
Pictures of it here, in last post: fuel filter location - The Ranger Station Forums
Also here: 1983 Ford Bronco '84-89 Fuel Reservoirs pictures, videos, and sounds | SuperMotors.net
Now just to make things more confusing, you may have a fuel reservoir that looks similar but isn't a filter, it is there to hold extra fuel for the high pressure pump so it stays primed when pumps are off.
And then there would be an in line fuel filter between high pressure pump and engine, could be up by firewall but in the frame rail.