Click on the map for an enlarged view.
McGill University is located at the intersection of Sherbrooke St O and McGill College Ave, shown in the center of the map above. It is within walking distance of the McGill Metro (subway) station, two blocks south-east (which Montrealers call "south"!) of McGill. (So walk two blocks "north" from the Metro to get to McGill.)

Further campus maps may be found at the McGill site, including this image locating Burnside Hall in the lower center right of the image (in red).

Excellent maps of Montreal in PDF format (with lots of detail, and good place notes) may be found at the official Montreal tourist site.
Here's an excerpt (Burnside Hall is roughly opposite the Musée McCord, where the word "McCord" appears):