Yes, it's indeed on the Wutai Continent. You need a Green, Black or Gold chocobo (one that can cross mountains). It's not difficult to find. It's in a cave, I think it's on the eastern side of the continent.
Yup - Cave south of Wutai - you need a black or a gold Chocobo. (The black combines the mountain (green) and the river (blue?) chocobos and the Gold adds the ability to cross oceans. You can find the cave on the Eastern side of the island - just run along the shoreline till you find it. Enjoy!
talking of materia , anyone know where on the great glacie it is. Its the only materia in the game I have never come across. Without it I cant get a master blue materia.