I thought the train stopped at Fuengirola and from there you would get a bus or taxi? Not sure though as we always hire a car.
Dona Lola is on the beach side of Calahonda , I have used the pool there a few times it is a nice complex
Around the area on the same side of the road you have plenty of restaurants and bars, we use Oscar's bar for a drink and their quiz night on a Thursday is really good, (if you are into that kind of thing). It is a freindly family run bar and always has some entertainment on, a lot of locals use it too as the owner runs a Golf Society and it safe for kids if you have any to play outside.
There are a couple of nice restaurants around there too we used one back in March called (I think)? "The Restaurant" and the food was to die for.
Across the road you have the El Zoco" centre which again has plenty of bars, shops and eating places. All in all everything is within walking distance.
Hope you enjoy it?
Regards
Ann