This is what really gets me about Manilva. The people in charge have for so long been trying to siphon money out of construction companies that they have neglected some of the aspects of the town which really made it appealing.
Anyway, rant over...
From Estepona head towards Sabinillas.
Just before Sabinillas is a roundabout. You need to go right here, it leads to the Sunday Market/ recinto ferial. Also, the ADH offices are on the corner here.
Stay on this road for a couple of minutes and eventually you will see the "Roman Oasis" restaurant on the right. Just after this is a dirt track....the Roman Baths are up there.
You should be ok finding it although there are no signs pointing to it that i can remember.
Justin