I've been there. It is called La Carboneria on Calle Levies number 18. Phone is 954 21 44 60. It is very difficult to find and no sign out front, just a little red door. Best to take a taxi. Or you could walk from the Catedral down Calle Mateos Gago and turn left onto Calle Fabiola and start asking people for directions as you will be very close at that point. Things don't get started until around 11:30 p.m. Usually flamenco on Friday and Saturday nights.