I assume that you are referring to Clube Praia da Oura, just outside Albufeira.
The nearest train station is at Albufeira/Figueiras which is about 10 kms distant.
You would need to get a taxi to and from the station and given the lateness of the return from Lisbon, you would need to book a cab both ways.
At present the first train leaves Albufeira Station at 7h19 and arrive Lisbon Entrecampos station at 9h56.
The last train leaves Lisbon Entrecampos station at 18h51 arriving Albufeira Station at 21h32.
You should detrain at Lisbon Entrecampos as it is the closest station to the city centre, accesisble via the attached Metro station of the same name.
Site here: http://www.cp.pt
As an alternative, you could try the bus.
Rede Expressos/Eva Transportes have a departure on weekdays from Albufeira Bus Station (4 kms from Praia de Ouro) at 06:55 arriving Lisbon Sete Rios Bus Station at 09:30.
There are return departures from Lisbon Sete Rios Bus Station at 18:30, 19:30 and 20:30.
Site here (in portuguese): http://www.rede-expressos.pt/
