Go to Roslin and turn off down the road to Rosewell. (There are signs up saying the road is closed, but you are still allowed access to up to a certain point along it.) At the bottom of the hill, there's a hair-pin bend with gates on the right hand side. The old powder mill is through those gates.
If you can't park outside the gates, drive on just past the sewage works and you'll find plenty of parking in the Roslin Glen Park.
A dirt road leads right through the old mill and there are still a few remnants of the old buildings. About 25 years ago, however, there were many more and the place was like an old deserted village.