Where is the Cave of Ordeals?

The cave of ordeals is were you first teleport to the gerudo desert it should be under the a peice of a bridge, after you move the peice of bredge there will be a great big hole and that is the cave of ordeals. Hope I help

You can enter the Cave of Ordeals once Midna warps the bridge away, but you won't be able to complete it until later on.
I know you need the Spinner and Clawshot and Dominion Rod to progress. So you should be able to complete the Cave of Ordeals just before the sky dungeon, but finishing the sky dungeon helps you practice against the flying Dinofols monsters (you pull them down by using the Clawshot on their shields, but you're going to be fighting more than one enemy once you see one in the Cave).
You also need the ball & chain weapon to defeat the Armos (use the Clawshot on the ceiling target and drop behind them, then use the ball & chain) and the blizzard-type monsters. You'll also need at least one of the quiver upgrades from Castle Town, as you need Bomb Arrows for undead soldiers (since they are slow, wait until they group together to save on arrows and bombs). You can also destroy giant Chu blobs fast with the ball & chain. Use the Clawshot/Gale Boomerang on the "skulls" lying on the floor to see if they are monsters or not.
You'll need some Rare Chu Jelly in a bottle (like the one found in the underground cavern in the stables at Ordon ranch) to handle/survive the knights at the end. Having a Fairy in a bottle is good too, especially if you forget to use a potion in battle. If you can't be bothered to turn the brightness/contrast up, make sure you have plenty of oil for your lantern, as the Cave is VERY dark.

Just remember to take out as many monsters as you can before you drop down into each room and you should be fine.