http://clubdehielobenalmadena.com/index.htm

This may be what you are looking for. Its within the new ice rink. here is the address

Ciudad de Melilla s/n Arroyo de la Miel

Benalmadena
Tlf.: 952 57 76 69
Fax: 952 57 53 01

I had been told it is in Arroya, although looks good, so will go along to have a look. I know where it is, because of the Ice Rink. We live just near el Pinillo, so it is not far away.

Many thanks for your help.

There is also a municipal gym in the sports centre up the road from the main Supersol in Arroyo (Manferga roundabout). I've never been in myself(!) but know a few people who use it and are happy with it. The main entrance is on the road on the Poligono - C/Moscastel I think, but you may be able to get in from the road from Supersol.

Is that where the football ground is, on the one-way system at the top of that road? If so I know it and will also have a look at it. The Palacio de Hielo one is €37 p/month which is a lot less than I was paying in the UK (£45).

There is a gym in Sunset Beach Resort which is near the Burger King and Plus supermarket on the edge of Benalmadena. It has a gym and lots of classes - pilates - spinning - boxing - aerobics etc as well as aqua aerobics.
Most of the instructors are English but all speak Spanish if that is your language. Cost about 45 euros a month which includes the classes - with discounts for monthly tickets and - dare I say it - the more mature of us.

I do both, although I am English. I am going to look at all of them tomorrow. Thanks everyone for your help.