Johnnie,
The guide of Madrid Camino (at least the one I had) tells that "Here there is a footbridge into Tres Cantos (modern industrial town, Holiday Inn Express Tres Cantos*** and all facilities). If you wish to visit Tres Cantos you must cross the autovia at this footbridge and return the same way, as the next footbridge is 3k ahead and off the camino."
Since I was staying in Tres Cantos for overnight, I crossed the first bridge. It also has some arrows on it and on the road leading to it. From the bridge one also can see signs for autovia exit to Tres Cantos (but it is ahead, it is an exit from autovia and it is not for pedestrians as too dangerous). The road goes between some garden and cemetery for a few kilometers and does NOT lead to Tres Cantos but around it. I was walking for a couple kilometers and then turned and walked almost all way back, asked people at cemetery and one guy give me a ride to my hotel which was was near railway station. Next day I decided to cross autovia by the closest bridge (second in Tres Cantos) and walk back until I see the arrows. To my surprise, there were yellow arrows on this bridge as well (it was not pedestrian, but car bridge with pedestrian sidewalk, though one more pedestrian bridge is near as well). And immediately after it, was the Camino.
So, the point is. To stay in Tres Cantos or to use train station to come back in Madrid, one has to cross not the first bridge, but second. The one which is near Siemens factory and some big building with many flags near it.
May be it can be useful for someone.
Natalia.