I've done the approach to Madeira many many times, and I use the proper approach charts, the default ATC vectors you totally wrong....
The approach to runway 23 is the easy one, where you'll pass the FUN VOR and then make a slight right turn. Straight in approaches are forbidden on both runways.

The approach most people talk about is the dreaded VOR/NDB approach to runway 5. If you're familiar with the IGS approach into the old Kai Tak, you'll have an idea about how this looks like.

I assume you'll do the VOR (FUN 112.2) approach. You're coming in from the north east, passing FUNOR at 3000ft, tracking 213.
At D7 FUN, start your descent to 1330ft which is the MDA...FUN VOR also acts as the MAP.

If weather allows, fly over the VOR and continue to track 213, further descend to 940 ft which you should be at D4. Keep 940 ft and at D6.7 you'll start the right hand baseleg  turn.
Now here's where it gets tricky...the default scenery doesn't include the curved Lead-in-lightning which is intrumental to execute this approach, since the beacons itself (not the light) also acts as visual reference points....but you should be at 460ft when you have rolled out and start to align yourself with the runway.

Proper planning and execution is the key, see if you can find some real charts ( I use Jeppesen SIMcharts)

I have the version from PT Sim, my mom actually got it for me when she was on a business trip to Portugal, maybe it's the same as Aerosoft??