Bahia, a state of Northeast Brazil.
Before you can get to Abrolhos, you must first fo to Caravelas. Here you will find a number of tour operators authorized by IBAMA to sail to the archipelago. The cost per person for a day-trip is around R$220 (USD 100). Check the page for Caravelas for instructions on how to get to Caravelas.
Once in Caravelas, you can only get to Abrolhos by boat. Your choices are:
Only swimming or by boat. You cannot get anywhere on foot unless you're on the island, which you will not be for more than 30min. So be prepared to spend a lot of time in the sea or on the boat.
If you go to Abrolhos on the mating season (July to November) you cannot miss a "Whale Watch" excursion. You would probably come across them on your way to Abrolhos, but it may be more interesting to go for the whale watch tour.
There are no Mac Donald's there... You cannot bring you're own food unless you agree with the boat's captain. The food is served on board by the tour operators authorized to sail to the island.