Raul set Real on the way with wonderful glancing in the 32nd minute.
The second half proved a scrappy affair but Ronaldo pounced to settle the result 10 minutes from time.
Figo wrapped up the scoring from the penalty spot five minutes later as the referee penalised a foul on Raul although TV replays showed Carlos Marchena had clearly played the ball.
Albelda was dismissed soon after, also for a second bookable offence.
Real's city rivals Atletico were beaten 4-0 by Sevilla in yesterday's other tie.
* JIMMY Nicholl missed out on the Northern Ireland manager's job because he could not agree terms, it was revealed yesterday.
Instead, former Wycombe boss Lawrie Sanchez will lead the province into a new era. It is the second time Dunfermline assistant manager Nicholl has missed out at the final hurdle because of finance.
He was due to succeed Billy Bingham in 1994 only for Bryan Hamilton to agree a salary package and take the role.
Nicholl was clear favourite to replace Sammy McIlroy this time, but Dunfermline chairman John Yorkston said: "They haven't been able to agree terms."
Sanchez's first match in charge will be against Norway in a friendly at Windsor Park on February 18.
