Just head down the Trans Canada from Port aux Basques. You'll pass the entrance to J.T. Cheeseman Provincial Park. Start looking for the sign for Cape Ray.
Turn left on the road to Cape Ray and follow it through the town and to the end to see the famous Cape Ray Lighthouse. Like a lot of lighthouse locations, it's not so much about the lighthouse. Lighthouses are usually built in very scenic spots.
From the road to the lighthouse, if you look south down the coast you can see the sandy beaches of J.T. Cheeseman Provincial Park.
The road literally comes to an end just past the lighthouse and you can park there. There's a rough gravel roadway that you can walk down to get closer to the rocky shore. There's normally quite a bit of wave action here, even on a calm day.
Cape Ray is also a recognized archeological site, there are interpretive signs about the Dorset Eskimos that were here 1,000's of years ago.
(click photos to enlarge, click caption for mapped location)
Before you head to Newfoundland, you may want to consider one or more of the great field guides that are available. We have done short reviews of the following:
Newfoundland books available from Amazon.ca (Canada)
Newfoundland books available from Amazon.com (USA)