The easiest approach is the suburban train from Lisbon — the line runs along the coast from Cais do Sodré in central Lisbon to Cascais, with trains every 20 minutes and a journey of about 40 minutes. The route hugs the Tagus estuary and Atlantic coast, and is one of the most pleasant urban rail trips in Europe.
By car, the A5 motorway runs west from Lisbon to Cascais in about half an hour. The slower coastal road (Avenida Marginal) takes longer but passes through Estoril and gives you a closer view of the sea. Lisbon airport is half an hour away by motorway. Both directions have a frequent bus service to Sintra (bus 403) running via Cabo da Roca.