There's a first class Boutique Hotel in Vejer, a few minutes from Montemedio, where the equestrian events are held. Highly recommend it. Superb rooms, superb food, superb views. Check out the link below.
Thanks for the tip jetgirl92. I'm going to the Sunshine Tour this year and want somewhere special to stay and would love to stay at Casa la Siesta and they have some vacancies still. If you love anything equestrian, you really should go to Montenmedio. The horses and riders assemble from all over the world and the atmosphere is amazing. Here's the link again - you'll find a link to the sunshine tour on the website.
Plenty of B&Bs in Vejer or self-catering in the village of El Soto around Montemedio too which might be more reasonable if you are down for more than a week. Try a google search under ´Sunshine Tour Montemedio´ etc which will give you a few ideas. Spanish houses can be damp and cold in winter though, so the cheapest is certainly not always the best!
We have some ourselves and are recommended by Alistair Sawdays, but appreciate the rules on advertising here - but if you want a link to make your own mind up, please just ask!