Was it Qatar? Apparently not. I found this comment and link in a Transformers Discussion Group. (I really MUST get a life! lol)

"Actually the desert scenes were shot at Holloman AFB and White Sands National Monument, New Mexico.

http://www.imdb.com/title/tt0418279/locations

That control tower and the f-117 made it pretty obvious"

http://www.imdb.com/title/tt0418279/

Apologies - didn't mean to hijack thread maxi, but ... oh well, you know how it is ;D