NIE is a legal identification number given to all people who live in Spain that appears on Spanish national ID cards. You need an NIE to open a bank account, file taxes, buy a house, sign up for telephone, internet and utilities services, establish a business, get a Spanish drivers license, sign a lease and for almost any financial transaction or government related dealings.
To apply for your NIE, you should visit the Oficina de Extranjeros de Madrid, located at:
C/ General Pardiñas, 90
28006 - Madrid
Open from 9:00AM to 2:00PM - Monday to Friday
You can fill in the application form there, or you can download it from the Internet at the following link: http://www.mpt.es/servicios/servicios_on_line/extranjeria/modelos_oficiales_solicitudes/ex14/document_es/ex14.pdf. Along with the completed and signed application, you must also bring the following documentation: