To answer you question, the 2002 Mustang didn't actually have a cigarette lighter. It has an accessory receptical were you can add a cigarette lighter.
I used to own a 2002 Mustang. I think if I remember correctly, the fuse box was located on the right side kick panel underneath the dashboard.
If you happen to have a copy of the owners manual, it should show you the location for the fuse box.
If you don't have an owners manual, contact your nearest Ford dealership for help.