You can find the blower in the space that is occupied by the return ductwork and the furnace. The blower blows cool air into the heat exchanger, where it is heated before entering the plenum. The warmed air is then distributed to different rooms in your home via the supply ducts. A furnace that continues to run and does not turn off when instructed to do so may show that it needs maintenance. Make sure that your thermostat is not set to the "continuous fan" setting by checking it. Reduce the temperature to determine whether this option will resolve the issue. In addition, if the blower in your gas furnace does not turn off, this could be an indication that the limit control switch is not working properly. (which could need to be reset or replaced altogether).