From Route 95/128, take Route 9 West to Route 16 West in Wellesley Hills. Or from West of Wellesley, take Route 9 East to Route 16 West in Wellesley Hills.
Once you are on Route 16 West (a little less than a mile), take a left on Forest Street (there is a traffic light there and a building on the left marked "PLAYHOUSE SQUARE"). Proceed on Forest Street until you hit a four-way STOP (about a mile or so). Continue on Forest St. a short distance to the Babson College main entrance on your right. Turn right and follow the street to the end. The Knight Auditorium parking lot will be on your right.
Here are a some maps to help you visualize all of this.
Click here for a MapQuest map.