Travel from Madrid to Estepona, Spain

I will give the detail but you are not helping yourself by flying into Madrid and not a much closer airport like Malaga if you want to be in Estepona. Why is this?
There is no rail network for thirty to forty kilometres east or west of Estepona and you will certainly need a bus at some stage.

We wanted to see Madrid while we were in Spain. We also thought it would be less expensive to fly into a major city. We are not opposed to booking a car once we get closer to our destination of Estepona.

Ave from Madrid to Malaga is about 2.30 hours. From Maria Zambrano Malaga take train to Fuengirola-40 minutes. Walk one block to bus terminal and take bus to Marbella-30minutes. At Marbella catch a bus to Estepona. I have been as far as Marbella and have checked online that buses run between Marbella and Estepona every 30 minutes. But I have no idea where you make the last transfer. You could ask at the Fuengirola terminal for directions.

Rent a car at the malaga train terminal, ez to do in advance of trip, and drive.

If you can get to Marbella (easy from Malaga by bus). Then you would change buses in the bus station where you arrive from Malaga and catch the frequent bus service from Marbella directly to Estepona. It's a 'local' bus -You pay as you board and take any seat. The route follows the coast road and arrives at the bus station in Estepona on the seafront. I've used it many, many times, having spent several months in the area.

I know a lot of people don't like Ryanair, but they do offer a lot of domestic flights in Spain, and might be a good way to get to Malaga from Madrid; in which case, catch the airport bus at Malaga to Marbella. It leaves from right outside the airport and terminates at the Marbella bus station.
Estepona is lovely! While you're there, be sure to take a walk along the seafront headed towards the harbour- you will pass through a street lined with fishermen's 'huts'. At the end, you will find a rather basic looking restaurant- go early it fills up very quickly because the food is wonderful! Sorry I can recall the name of it, but you can't miss it.

Thanks to everyone for all the replies. My friends and I are all looking forward to the trip and will take all suggestions you have given. If anyone else would like to let us know of other areas to visit while we are there, please feel free to give your ideas.