I am told that you can go and watch Real madrid`s training sessions can anybody tell me where these sessions take place.

Have you tried looking at the Real Madrid web site? There might be some info there. The site is also available in english. Not too sure how complete the english pages are though.
I don't know if you're interested in this, but at the Santiago Bernabeu there is a little museum dedicated to Real. You get to see all the trophies and some videos. Also, you can go out to the stands an see the field (you can't get very close to the field though). I can't remember how much it costs - maybe 3 or 5 euros. Also, if you go to the stadium maybe you could ask someone there about training grounds. Good luck.

I heard Real Madrid was changing its training sessions from "La Ciudad Deportiva" north in La Castellana street to some place in Las Rozas, a suburb west of Madrid.
As Momo says the best thing to do is checking their webpage.

Mono,yes thanks i visited the real museum in may when i went to the celta vigo game and it is well worth a visit.
Castiza,thanks for the detailed locations i will ask at the stadium to be sure.
I fly out early sunday with the inital intention to watch atletico/valancia only to find they have brought the game forward 24 hours for television coverage.