Trips leave from Puerto Marina in Benalmádena (berths 685, 686 and 687), with six boats: four licence-free from €80 per hour, the Rocinante for PER holders and the skippered Tyrion catamaran from €330 for 2 hours.
Puerto Marina is not an ordinary harbour: its white buildings, built out over the water, are among the most recognisable in the Mediterranean, and they're the first thing that drops astern as you clear the entrance. Just behind them on the hillside you'll pick out Colomares castle and the Benalmádena stupa, both far easier to identify from the sea than from the road.
West of the marina the coast runs down past Torremuelle and Carvajal, with 16th- and 17th-century watchtowers still standing on the cliffs, and ends at Sohail castle in Fuengirola. East of it lies the long beach of La Carihuela, with Mount Calamorro above. Two hours takes you round the bay with time to anchor; four gets you to Fuengirola and back at sunset.