I have an 807 with 2.2HDi engine and 60k on the clock and had same
message about 2 months ago. There is one line in my handbook which
just says "refer to dealer" when you see this message but my local
(non-peugeot) mechanic found the additive tank under the car next to
the fuel tank. Peugeot supply a kit of additive with a long length of
plastic pipe (about £30) and we managed eventually to connect pipe to
tank and get the additive in. Now for the sting - the message didn’t
go away. The garage has a Sykes-Pickavant computer which recognised
the message and said it had cleared it, but it just came back soon
after. I conceded defeat and took it to my local Peugeot Dealer who
are pretty good (as dealers go), and they said that the particle
filter needed regeneration to burn off the soot particles which is
done by injecting diesel into the exhaust gas to make it run very hot.
This normally happens regularly without the driver being aware but
occasionally there is a problem and it has to be connected to the
Peugeot Computer in the workshop to be done. They admitted that it’s a
known problem - sometimes it’s a 10min job, but it can also take up to
4 hours at £70 per hour - they quoted me £320 inc vat just to get rid
of the message. Their other suggestion was to carry on driving for a
few weeks as it can disappear by itself which I’m now trying, but it’s
still there at present. If you find another way of getting rid of it,
please let me know  :)
Dav

As has been said, the additive tank is situated on the LH side of the
vehicle, just in front of the rear wheel.
There are two types, depending on the date of manufacture. I believe the
change over happened about Nov 2002.
Prior to that the tank takes 5 litres of Eolys DPX42 fluid, and you can get
this only at Peugeot and Citroen dealers.
It comes in one litre bottles,  and a 4.5 litre kit which includes the pipes
etc. The latter costs £92 incl. VAT. Don't be conned into buying the one
litre bottles which my local Pug dealer tried to do saying that this was all
which was available, as they cost £30 plus VAT.
Although there is a float switch in the little tank which puts the warning
on, the fact that you fill the tank up will not remove the warning, this has
to be reset on the computer. However, I have not bothered with this yet,
just ignore the warning.
The bad news is that the actual filter in the exhaust will also have to be
cleaned at some time to remove the ash which accumulates from burning off
the soot.
I haven't got round to this bit yet. Peugeot usually want to fit a new one
at some incredible cost, but it is possible to just clean them I believe.
You can also get exchange units which have been cleaned somewhere in France
by Peugeot/Citroen.