It's in the Beach Club, which is an Epcot-area resort. It's a great dinner but is also popular so I would strongly recommend an ADR.
The Beach Club/Yacht Club resorts (which kind of run one into the other) are easily accessed from Epcot or DHS. From Epcot you go out the International Gateway, which is the 'side door' to Epcot. It's where the bridge between England and France is. You can either take a slow boat or a quick 10-minute stroll to Cape May. From DHS, take the boat (dock is to your right as you face the front entrance gates). The boat stops at all the Epcot-area resorts: Swan/Dolphin, Boardwalk, BC/YC, then Epcot; then reverses course.
If you are going to Cape May from your resort rather than from a park, take the bus to DHS and then the boat to Cape May. You don't go in DHS so you're not using a park entrance (important if you don't have Park Hopper tickets). Even if you do have Hoppers, it's a pretty long walk to trek all the way through Epcot's FW and into WS to get to the International Gateway and then to Cape May.