SIGNAGE: Once you enter the park, look for signs to direct you to the site. They will just say "MB Rally" and have an arrow telling you which direction to turn. I'd post a photo, but I haven't made them yet.
By the way, Cape Henlopen State Park is not a free park, there is a charge to enter. It's not quite off-season yet. That's when the park is free to enter. I tried to find the fee information online, but they only list rental fees for pavilions, etc.