I haven't heard of a monthly program for toddlers, but have you looked into signing up in a good guarderia for a month? They all have school-like programs, with fine motor skills work, and they start letters and numbers early - before 3 years old. They are also great places for socialization and practicing Spanish. My experience with the guarderia my children went to was excellent. It was much better for them than staying at home with an au pair while I was at work. You may be able to find one that will take your children for a month. The best thing to do would be to ask around in Madrid, and see if anyone who has a child in a guarderia is happy with it. They open and close, and change employees, often, so it would be best to talk to someone who is experiencing it now. Maybe your mother-in-law can help out by asking around. Will you be going in summer? Some guarderias close in August. Also, there are guarderias that claim to be bilingual (Spanish/English), which you may or may not want!
There are summer camp programs outside the city, but they would be better for children older than toddlers. (Whoa! Nuria was typing that up while I was thinking about it!
[This message has been edited by Diana (edited 12-30-2000).]