This geological treasure is easily accessible by boat from the harbour of Alghero but if you prefer the exercise, you can brave the 656 steps of the Escala del Cabirol stairway from the top of Capo Caccia, 110 metres along the cliffside and down to the cave entrance.
http://www.algheroconcierge.com/places-of-interest/0/4/19/neptunes_grotto.aspx