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The museum is in the old Palácio dos Capitães-Generais, a big red building up in Stone Town. In the same building is a tourist information office that sells really good street maps and has all sorts of other information about the various restaurants and pensões on the island.
Also worth a visit is the fort at the northern tip of the island, which contains the church of Nossa Senhora do Baluarte, almost certainly the oldest surviving European building in the Southern Hemisphere, dating back to 1522. Be sure you pay the right attendant, or you will have to pay the entrance fee twice: Ask for an entrance ticket, if you don't get one, don't pay.
Capela de Nossa Senhora do Baluarte
Our Lady of Baluarte from 1522 is one of the oldest European structures in the Southern Hemisphere.