This Google Map will take you to the park, but be sure to use the road signs to stay on Route 58, as Google's directions can be tricky to follow (the distances should be roughly correct though). Google calls the road that takes you into the park VA-362, though I don't believe it is marked as such.
Once you turn in, you will drive a short distance to park's pay station. Parking is 3 bucks, but is worth much more than that. Once you've paid, drive 2-3 miles up to the Massie Gap parking area. It's a paved parking area connected to the road on the right. You should see the trees opening up to a large clearing, where you can take Rhododendron Trail to many destinations.
You will be on the trail soon if you walk to the left of the picnic table near the parking area. Follow the trail through the gate and up the hill. Anytime from here, you're likely to see wild ponies grazing the many acres of beautiful land. Please respect the park rules and don't wander far from the trail or feed the ponies.
There are multiple trails to explore, but my friends and I chose to follow the Appalachian Trail, taking a left at the sign for the AT about a half mile from the parking area. About a half mile onto the AT, we followed Wilburn Ridge Trail, the blue blazed trail that goes up to the summit of Wilburn Ridge. The 360 degree views from here are more amazing than my camera could capture.
I read that when Rhododendrons are in bloom (May-June), Rhododendron Gap is beautiful. I think we had just missed this. It is about 2.5 miles from Massie Gap on the AT.