The only time he ever had a bed was after "Dreamland"/"Dreamland II" when Morris Fletcher switched bodies with him and put a tacky waterbed (mirrors on the ceiling and everything) in his bedroom to seduce Scully. At the end of the second episode everyone forgot the events that occured but some of the effects remained. Mulder came home, saw the waterbed and went back out to the hallway to check the number on his door and make sure he was in the right apartment.
The waterbed was short-lived, it sprung a leak only a few episodes later in "Monday" and Mulder went back to sleeping on the couch. There were no episodes between "Dreamland II" and "Monday" dealing with the waterbed, it was eliminated by the writers as soon as they addressed it in the first place.
If you did ever see a clip of Mulder watching porno in a bed, it would have been in one of the many motel rooms he slept in over the course of the series.