Madrid is a delightful city to walk around; the centre is relatively small and most of the sights are within easy walking distance of each other. It takes about 15 minutes to walk from the Prado Museum to Plaza Mayor and about another 15 minutes to walk from Plaza Mayor to the Palacio Real. Its easy to get lost but that is half the charm. Free maps are provided by the tourist information offices and theres a good selection of better maps at most bookstores.