If you carried on the beach walk you would have come to the Marina, shops, bars restaurants, further on towards Torremolinos more. Or up the bank to Bonanza square with all the bars

What a shame, you missed a lot in Benalmadena. If you go to this site you will see all the things there are to do.

http://benalmadena.homestead.com

Stewart, are you staying in Fuengarola again, if so catch the train to Arroya, the main shops are here, Arroya is a nice place to wander around and sit with a drink or 2. On Friday and Sunday there is a market. If you head down hill not far from the train station you will come to Paloma park (my favorite), you can spend a few hours wandering around the lake and gardens, if you have children with you they will be thrilled by the rabbits and chickens. Walk then to the promanade, once there turn left and keep walking (around 15 min walk) and you will come to the marina, it is fabulous place to wander around, nice shops and bars. If you go through the marina you will start heading out to La Carheila ( old fishing port) it is also very nice here.
Have a look at the Costa del sol videos,

last year we got off at Benalmadena station I think and walked down a hill not far from station. This took us through a market and then onto a park, which was lovely. Then came to the windmill roundabout. We turned left and walked along the prom for about 5 minutes but this seemed to be very quiet not many bars/cafes etc. Instead of turning left, if we had turned right is thereanything in that direction?

Stewart

You just didn't walk far enough to the left. lovely walk along the prom to the Marina.