Do you know what Empire has it? Galaxy News reports built wonders. Though if you skimmed it, you can't backtrack the logs in case you loaded a saved game.
If you know the owner empire, it's easy. Most likely it will be on their home planet. You can send an explorer. Onece it's in the system, you can check the planet for facilities built on it. If it isn't on the home planet, it will be best to check other highly populated colonies (eg.: the ones with bigger influence rings). If you do not know where the owner empire resides, a semi-decent spy can easily steal a territory map.
If you has no clue what race built the wonder, it's a bit trickier. I don't think the Diplomacy screen displays wonders, so one needs to check all of them. I'd prioritize their exploration by ship numbers. That is displayed, and if someone has a lot more than others, they are your targets.
(disclaimer notice: while I'm pretty sure my answer is correct, I'm relatively new, so I might have missed the 'show me the Wonders' button in some godforsaken sub-menu)
Why can't I make friends? Only my Nuclear Devastator understands me.