The place is near Page (Glen Canyon Dam / Lake Powel is nearby) in Navajo land. All tours start from Page. Quite expensive - Close to 40 dollars for about an hour's visit. Best time to visit is during Mid-day when sun can shine thru the slots. There are upper and lower parts. Be careful when there are thunderstorm forecast. (a deadly tradegy occurred few years ago killed a whole group of European tourists when a thunderstorm 8 miles away caused flash flooding.)
Housebend - the entrance path is south of Page on US 89, between mile marker 545 and 544.
http://www.nps.gov/glca/wwhikes.htm
http://www.azcentral.com/travel/hiking/trails/horseshoebend04.html