The nest is a depression in the soil, dug by the mother. It's awfully hard to see. Surprisingly hard to see since its cover is nothing more than the grass and fur that the mother puts on top of it.
Birds and squirrels don't seem to mind sharing space with the babies.
In the videos below you can see the process.
You'll see the mother checking on the babies, feeding them, and hiding them after they've fed. You'll also get a glimpse of one of the babies feeding, and finally a quick view of all four babies in the litter.
Enjoy them, I hope.
Don't forget to go outside and play.