For all except the K2600, you need three AA batteries.  These are found in a panel on the bottom of keyboard versions, and are in a tube-shaped cartridge on the back of rack versions (use a penny to turn the endcap and the cartridge will pop out). The K2600 is different: it has a 2032 cadmium battery located in the user-accessable RAM board.  This is below the removable panel on the bottom of all K2600 units.
Note: always replace batteries with the power off and the unit unplugged.  Material stored to PRAM (songs and objects other than samples) will be lost when the batteries are removed so backup before you change them!!