Answer by taking a quote from the following article:

Alba was born in Pomona, California, to Catherine Louisa (nee Jensen) and Mark David Alba. Her mother has Danish, Welsh, German, English, and French ancestry, while her paternal grandparents, who were born in California, were both the children of Mexican immigrants. She has a younger brother, Joshua. Her third cousin, once removed, is writer Gustavo Arellano.

Alba expressed an interest in acting from the age of five. In 1992, the 11-year-old Alba persuaded her mother to take her to an acting competition in Beverly Hills, where the grand prize was free acting classes. Alba won the grand prize, and took her first acting lessons. An agent signed Alba nine months later. Her first appearance on film was a small role in the 1994 feature Camp Nowhere as Gail. She was originally hired for two weeks but her role turned into a two-month job when one of the prominent actresses dropped out.  Alba appeared in two national television commercials for Nintendo and J. C. Penney as a child. She was later featured in several independent films. She branched out into television in 1994 with a recurring role as the vain Jessica in three episodes of the Nickelodeon comedy series The Secret World of Alex Mack. She then performed the role of Maya in the first two seasons of the television series Flipper. Under the tutelage of her lifeguard mother, Alba learned to swim before she could walk, and she was a PADI-certified scuba diver, skills which were put to use on the show, which was filmed in Australia.  In 1998, she appeared as Melissa Hauer in a first-season episode of the Steven Bochco crime-drama Brooklyn South, as Leanne in two episodes of Beverly Hills, 90210, and as Layla in an episode of Love Boat: The Next Wave. In 1999, she appeared in the Randy Quaid comedy feature P.U.N.K.S.. After Alba graduated from high school, she studied acting with William H. Macy and his wife, Felicity Huffman, at the Atlantic Theater Company, which was developed by Macy and Pulitzer Prize-winning playwright and film director, David Mamet. Alba rose to greater prominence in Hollywood in 1999 after appearing as a member of a snobby high school clique in the Drew Barrymore romantic comedy Never Been Kissed, and as the female lead in the 1999 comedy-horror film Idle Hands, opposite Devon Sawa.

Where did she take the acting lessons?
Beverly Hills,