From West Madison:
Drive to the capital square,
head east on East Washington,
turn right on South Baldwin,
drive one block,
turn right into the parking lot

From East Madison:
Drive toword The Capital on East Washington,
just after the Yahara River,
turn left on South Baldwin St.
drive one block,
turn right into the parking lot

Or, if you prefer:

Directions using Mapquest

Directions using Google Maps