The entrance to Molten Core was in the Blackrock Depths. It was behind the Room of the Seven and at the very end of the bridge, which was also next to the Forge where they smelted dark iron.
Of course, this wasn't the only entrance. There was a room at the end of the Blackrock Mountains that contained an Elf. Players would be able to receive a quest regarding the Molten Core from him. Upon completion of the quest, they would then be able to teleport from that room straight into the Instance Dungeon.