Hello Anne-Chloe,
You could start by checking the classifieds section of InMadrid a free magazine in English, and Segundamano, which is probably the magazine with the more offers, if you speak Spanish and are serious about doing extensive house-hunting. Their on-line versions are:
www.in-madrid.com , and
www.segundamano.es My advice always is to avoid dealing with 'agencias' or agencies if you want to save money; however if your company is paying and you don't have the time for all the required "leg-work"(you can say that, right?), I guess it can be a good option to simplify things.
Good luck, and welcome to Madrid.
[ 01-24-2002: Message edited by: MadridMan ]