I live very close to Dehesa de la Villa. It's an area neither old nor very new, safe,not far from well known Glorieta de Cuatro Caminos Circle.
It takes its name from a big park that's in the area (a 'Dehesa').
The closer metro stations probably are Metropolitano or Francos Rodriguez. It´s not far from the Campus (Autonoma?) and around the campus there is a lot of universitary environment.
You can see the metro map here:
Map and you can see it's within what's considered downtown (within M30 highway), and it's north-west.
Go west!