Classes in Madrid

I took classes at AIL Language school in Madrid. It is Excellent for learning and they have excursions or culture classes every day free for the students. It's a bit pricey, but way cheaper then NY classes.
I found it was hard to find what you are talking about because most of the schools are for college students who have to reach specific proficiency levels. If you have a working knowledge of Spanish check out Meetup, a website with many cultural walks and excursions around Madrid. I learned a lot that way. Also for practicing Spanish, on Meetup, there are intercambios. My favorite is one run by a guy named Timothy where it is 15 minutes of Spanish then switch to English...for the evening, about an hour and a half.