From the South/Midlands. Use the M62. Leave at Howden, take the A614 to Bridlington, then the A165.
Since the town is on a cliff. Parking by the sea is limited. There is more roadside parking in Church Ravine at the north end of the beach. If full, try the country park which has a path down to the beach.
Filey Brigg is the main landmark. Walk along the beach to the end, but remember to return 2 hours before high tide or you will get cut off. Alternatively, walk along the top of the Brigg. There is a section of the car park in the Country Park next to where the clif path starts.