The small market town of Rojales can be reached on foot from the villa - a very enjoyable stroll if it's not too hot.  The River Segura runs through the centre and several bridges allow you to cross backwards and forwards exploring the town on foot.  The old cave houses can still be seen and are now used by local artisans.  The lovely Shell House is also worth visiting.  There is a weekly market here every Thursday where you can pick up some great bargains.  It's also a good place to stock up on fresh fruit and vegetables which have been grown on local farms nearby.