If your hotel in Madeira has no pool, you can go to the public pool at Complexo Balnear do Lido.
Most of Madeira's good hotels have their own swimming pools, but if yours doesn't, year-round swimming is open to the public at the excellent Complexo Balnear do Lido (Lido Swimming Complex; Tel. 291/762 217) in Funchal's Tourist Zone.