Most of Madeira's good hotels have their own swimming pools, but if yours doesn't, year-round swimming is open to the public at the excellent Complexo Balnear do Lido (Lido Swimming Complex; Tel. 291/762 217) in Funchal's Tourist Zone.
If your hotel in Madeira has no pool, you can go to the public pool at Complexo Balnear do Lido.