La cave madam is found in the east of Mauritius, at Roche noir. The access is easy, it is just beside the main road and parking is available. Once you reach there, you will need to go down the steps. Warning : It is quite smelly!
Note that it is very dark inside. The photo above has been shot with a DLSR using a tripod and an exposure of a few seconds. It will be difficult to observe the rich colors of the rock with only the low natural light.