Tigger4Me:
The club you are referring to actually IS in Malaga. The web address you give is correct. They are both an FBO and a school with about 12-14 a/c.
There is one (very small) in Velez Malaga (LEAX).
EGXX:
The Jerez outfit is,
AFAIK, a school only, European Flyers or something similar.
Correction / Addendum:
Got intrigued by the query and did a little Google - and hey, presto! came up with this:
http://www.fly-in-spain.de/index.html
Sounds interesting, will check 'em out myself.
And you're all right - w/o declaring an emergency you cannot fly directly between Spain and Gibraltar. This rule seems to be relaxing a little, as since Feb or so this year you can file Gibraltar as alternate (a no-no in earlier times).