Around the beginning of the game the butler mentions something about a letter from the family lawyer. Where is this letter located?

I think he's referring to Uncle Boris' letter, the one the lawyer handed to you? If so, it's not in the game; it was part of the original documentation, but GOG didn't include it in the extras.

Fortunately, there's a post right here on these forums with the integral text:

http://www.gog.com/forum/waxworks/the_whole_story

You can find a .pdf of the story "The Curse of the Twins", including Uncle Boris's letter, at the Museum of Computer Adventure Game History:

http://www.mocagh.org/loadpage.php?getgame=waxworks

If you haven't visited that site before it's an absolute goldmine of information about old computer games.