When you arrive at Setúbal, head for the river until you reach Ave. Luísa Todi and then head west along the avenue until you see a street on your right with a sign which reads "CASTELO".
 
MAPA

Go up to the castle and around it to your right. Follow that road almost all the way up to the top. When you see two windmills and a white house on your left, turn left.

Welcome! You have arrived at Quinta dos Moinhos de S. Filipe!!

If you prefer, see the route on Google:

(A)arrival at Setúbal from the highway

(B)Quinta dos Moinhos de São Filipe.