If you feel like rowing in a little boat, you can come to the Retiro Park and enjoy a nice time here.
Go to the main pond (the one with the big horse statue), and head towards the yellow building with columns at the left. There you have a ticket box. It costs 3,80 euros for 45 minutes. Only 4 persons allowed per boat.
It's a perfect plan if you go with kids.
Well, not really sailing, but if you go on a sunday to Park Juan Carlos I, you will be able to see these little radiocontrolled boats sailing around...
To get there, take the Metro towards the airport and stop in the previous stop (Campo de las Naciones)