Everywhere. Ilha's a magical mix of colonial Portuguese and old Swahili architecture. It basically divides into two halves - the old Stone Town in the north and the "Reed Town" in the south which is set down from the main streets.
The museum is in the old Palácio dos Capitães-Generais, a big red building up in Stone Town. In the same building is a tourist information office that sells really good street maps and has all sorts of other information about the various restaurants and pensões on the island. It's well worth heading here as soon as you arrive.
Also worth a visit is the fort at the northern tip of the island, which contains the Church of Nossa Senhora do Baluarte, almost certainly the oldest surviving European building in the southern hemisphere, dating back to 1522. Be sure you pay the right attendant, or you will have to pay the entrance fee twice: Ask for a entrance ticket, if you don't get one, don't pay.
