The Garden of the Gods is a beautiful park with many opportunities for recreation. The climbing there isn't stellar, but it's a fun and rewarding place to have so close to home. Beware though, it is not for the beginner climber, unless you have an experienced person or a guide with you.
Montezumas Tower is located in the Central Garden area. There are maps throughout the park to help you find it. Park in the Main lot on the north end of the one way loop road, or in Lot 7 on the west side. Here's the link to the website for the park, which has directions and other information.
The Tower is 120 feet tall, and the climbing route ascends the north ridge, starting at a hand crack on the west side. It is rated 5.7, but will probably feel harder. You MUST have two ropes or one FULL 70 m rope to get down. There is a solid anchor at about 90 feet, and another one at the top for rapelling. Most people climb this in two pitches, but it is possible to link the pitches with a 60 m rope. Gear is minimal- there are 5 or 6 fixed pins and bolts on the ridge, and you can supplement these with one long sling (to sling a pothole) and cams .5 to 1. It is possible to bail from the first pitch and rappel down the east side. Rappel off the west side if you go to the top. Beware of many spectators and be prepared for some silly questions.