Preko, I am sure if you email Felix (felix@simposalsa.com), he would be able to make some accurate suggestions for you. He is the organizer of the Salsa Simposium in Madrid. I first met him 2 years ago and he is an all-around nice guy from my exeprience with him.
I hope this helps.
From when I was living there, the places I remember are:
La Sal - Wednesdays
Azzucar - Fidays (I think) and Saturdays
Empire - Sundays
La Riviera
El Son
Maybe a google search of salsa in Madrid would help as well, just in case Felix does not get back to you in time. I had a goood time at all of these places.