If you are in Estepona you really found a good place to spend your holiday in Spain. The beach and the sea are close to all the hotels. There are restaurants, bars, disco's, clubs, etc... Disadvantage (to me): this is a place where you will see a lot of tourists, so it can be very busy over there.
Restaurant tip: Tikitano in Estepona. Very nice restaurant and great food, not that expensive.