Technically speaking Praia de São Roque doesn't exist as a beach in its own right and is generally considered to be part of the vast crescent of sand that is Meia Praia. The beach is still referred to by its old name by some locals though.
Historically Praia de São Roque and Meia Praia were two separate beaches divided by a stream. However, over the years the course of the stream has changed and no longer exists. The name itself comes from a chapel that existed nearby - the Ermita de São Roque. But again this no longer exists as it was destroyed in the great 1755 earthquake.
So, while Praia de São Roque may be something of an anachronism it is still one of the closest beaches to Lagos town centre. Located just beyond the harbour it can be reached by crossing the bridge along the riverside.