Arriving By Train.
The
train station (Estacion de Ferroviaria) is located about half a kilometre from the town centre. Just walk directly up the Avenida Dr. Barahona and Rua da Republica to get to the main square. Only regional services run to Evora, so you need to change at Casa Branca to get there from Lisbon. Since this takes longer, runs less regularly and costs more than the coach, you probably don't want to do it.
Arriving By Coach.
The
coach station (Estacion de Rodoviaria) is located about 200 metres from the town walls. Just turn right out of the exit and follow the road.
EVA and
Rede Expressos run regular buses from the
Mundial Turismo Terminal Rodoviario de Lisboa (main coach station in Lisbon). Consider buying singles instead of a return, since you will then be able to hop onto the first available coach back when you get bored. The journey takes an hour and three quarters or slightly longer, depending on where it stops.
Once you get there.
First things first. Get a map. These can be picked up for free at the tourist office. This is located in the main square. The free map covers the central in adequate detail, and has a list of all the places you could possibly want to visit on the back.