2 questions
 

First where is the oil filter element located and 2ndly and the one that's got me stumped, why does my 2010 Cobalt not lock the front wheels when I have it jacked up and both front tires off the ground. When I lower it, it then locks like it should in Park. Jack it up again and the wheels spin. One in one direction and the other in the opposite direction as if it were in neutral. Any help is appreciated before I call the dealer and tell them to send a rollback.

The oil filter element is under the oil filter cap below and to the right of the throttle body as viewed from the front of the vehicle. You'll need a low profile 32 mm (1 1/4 in.) socket and an 8" or longer extension:
http://i1220.photobucket.com/albums/...Filter_Cap.gif

As for the front-wheel drive setup, the differential is integrated into the transaxle. Thus, with the parking pawl engaged and both wheels off the ground, the wheels can only rotate in opposite directions. Or, am I not understanding your question?