Dash light that looks like a gas pump with three water droplets came on for the first time. I've gathered that I need to drain the water from the fuel seperator, but where is it located? Also, I just had my filters replaced about 5-6 tanks of diesel ago.

 

I think you have the spin on filter, and the drain is usually located at the bottom of the filter. Just turn and drain out the water then tighten the drain.
It sounds like the storage tank at the gas station got water in it before you filled up there.
You may be draining the water out more until you use up that tank of fuel.