I know you didn't ask about it, but I thought you might be interested in a good vegetarian restaurant in Madrid. It's called the Bioteca (I believe the spelling is correct, but if not, it's close). They serve microbiotic vegetarian menus every day for a very reasonable price. There's also a small grocery in the front(something you were interested in). YOu can get fresh whole wheat bread (called integral in Spain) and a variety of other whole goods that are very hard to find in Madrid.

Unfortunately, I don't have the address with me, so here's general directions. If you can't find it, let me know and I'll try to get the actual address. It's in Huertas, one block off of Calle de las Huertas towards Atocha. Walk away from Paseo del Prado on Calle de Huertas and go about 5 blocks past Hostal Lopez. Take a left and it's on the corner of the next intersection. If it's not 5 blocks up, try 4 or 6, but it's right there somewhere.

Here's another way, but I don't know the street name. Begin walking away from Paseo del Prado on C. de Moratin, after two blocks, a road goes off to the right at an angle(this is the street that I don't know the name of). Just walk up this street until you see the restaurant on the corner on your right. The street dead ends into a cross street, so if you get to the end of it, go back until you find the restaurant/store.

Good luck and enjoy!