H i,
In the last couple decades scientists have been able to study the interior of the sun using a technique called helioseismology - studying the vibrations of the Sun. That way people have been able to map out conditions below sunspots.

This is not my specialty, but I am looking at one of the papers right now. It says that the cooler area extends 2,000 to 4,000 km below the Sun's surface. However, changes in the conditions below sunspots and probably the magnetic field associated with then are thought to extend down further than that, at least 60,000 km. For comparison, the diameter of Earth is 12,756 km.
Here are some articles showing images and movies of conditions beneath sunspots:

What Lies Beneath a Sunspot: http://science.nasa.gov/s...asa/2001/ast07nov_1/
An Inside Story: http://sohowww.nascom.nas...hotshots/2001_12_10/

Cheers,

Terry