Usually it's the key right above the Enter key. Hold down shift + that key. You should get "|" as a result.
Since this is a LaTeX forum, I thought I'd share this. I read recently that there are three ways to type a vertical bar in LaTeX: | (synonym: \vert), \lvert and \rvert, and \mid. The first produces an ordinary math symbol like letters and digits (class \mathord); the second makes opening and closing delimiters (\mathopen and \mathclose), and the third produces a binary relation (\mathrel). Each class is inserts its own spaces. For example, there is a thin space \, between an ordinary symbol and an operator, but no space between an opening delimiter and an operator: compare and . The relation \mid is good for set notation and to denote divisibility.