After leaving the airport area be sure to get on the A7/AP7 motorway to Algeciras. The exit comes rather unexpectedly. This motorway bypasses Torremolinos and Benalmadena. Just before Fuengirola there is a choice between the new toll road or 'peaje' (AP7 MARBELLA/ALGECIRAS) and the 'old' Carretera de Cadiz (N340-E15-A7 FUENGIROLA/ALGECIRAS). I would recommend the toll road AP7 as it is much faster and more direct. The cost is between 3,5€ and 7€ depending on the season.
Both roads converge on the Marbella ring road. Arriving on this ringroad around Marbella it is easiest is just to follow the coast road through a tunnel to Puerto Banús (keeping right) and straight on towards San Pedro. Without diverting you will be going through a longer tunnel and passing the Commercial Centre Guadalmina and the exit to the town of Benahavís. Take the very next exit to the Diana Commercial Centre by the footbridge and follow the sliproad to the end past the Diana Park Hotel Turn right just after and follow the road for one kilometre through the Urb. El Campanario following the yellow signs for the Cortijo de los Caballos.