There is a long foothpath running along Cap-Martin and leading all the way to Monte Carlo. This "Sentier touristique" holds breathtaking views over the mediterranean sea and visits lovely places along the rocky coast and the blue blue water. The whole route can be walked in two hours (after you have to find means back to where you began.
Arriving to Roquebrune-Cap-Martin is also possible by train, however, one should know that the railway tracks run down below along the sea side and a steep climb (with or without luggage) is necessary to visit the old village. Taxiu's are of course available too.
Roquebrune village is very easy to reach along the high Corniche runing from Nice to Monaco to Menton, but also directly from the highway A8 towards Italy (from Nice) and taking exit "Roquebrune".