your engine should have one .If it is a 4 cyl look beside the top spark plug. If it is a 3 cyl it is beside the middle plug. If it is a 2 cyl I am not sure but there will be a wire leading into the cyl head near the middle or top. You really should get a manual for your motor as it is a must if you are doing your own maint. Acording to the manual with a 30-40 hp during normal operation the switch is open (turned off). The switch will close (turn on) when the temp reaches 182-198 deg F. The switch will reset back to an open circuit (turn off) at 162-178 deg.F. Place the switch in water with a thermometer and heat the water to 182-198 deg check with an ohmmeter when the switch trips and then check when it resets. Again; You Should grab a manual even if it is from the library.
Sorry I should have mentioned. Switch should be removed for testing. Again; The manual. I dont mean to preach but you can get yourself into some mighty big messes doing some seemingly simple maint. without one.
I'm still not with you 100% buddy.I can test if the switch is closing with a meter as you suggested, but I would like to test it in "situ" and actually have the contacts close and hear the alarm come on. My friend just cooked a brand new yamaha with a plastic bag he picked up on the intakes, which luckilly he had insured.Is the temp sender a screw out sort of thing or just a contact type setup to the head. Does the engine have to be running or the ignition have to be on to make the alarm operate or is it impossible to trigger the contacts by immersing in water while the engine is running if nessacary to make the alarm circuit active. (sorry for my ignorance)
A bracket holds it in place . If you want to test the alarm and not just the switch just ground out the wire that leads to the switch to the block or other good ground such as the base of a spark plug with the key on ,engine off.(k.o.e.o.) ..Only other way that I can say is to purpously overheat your moter and that would be dumb.Your friends yam should have had an alarm go off and if it didn't the warranty should have covered it.
Thanks for your trouble, sounds like it could be best to remove the sender/bracket, put it in heated water (above overheat temp) turn the key on and see if it goes into alarm.
Thought about it a little further. If you were to remove the switch and have it hooked up to the proper wire as if it were under normal running conditions and place the switch into a billy can with water and a thermometer; heat it up, (k.o.e.o.) and check what temp the alarm goes off, that is the best I think you can get to actual situation .
If that is a single wire sensor, you could heat it up all day long and it would never set off the alarm! It uses the casing of the sensor for ground, once you remove it you have no ground.
testing overheat alarm on Mariner 30hp
Place the switch in water with a thermometer and heat the water to 182-198 deg check with an ohmmeter when the switch trips and then check when it resets. 
Linear Mode
