Sounds like the periformis muscle. If you're not careful and it gets too stiff, you could end up with some back pain.
I hope this is descriptive for you.
Lay on the floor. Raise the left leg and bend. Then raise the right leg and place the right foot on the left knee. Slowly bend the left leg in towards the torso and hold. Then reverse for the right leg.
Alternatively (or additionally), you could do it standing. You'd still bend the left leg, then lift the right leg and place the right foot on the left knee. Then sink down, bending the left leg even lower and deepen the stretch.
You may want to get the book called "Stretching" by Bob Anderson. It is the best book out there I've ever seen that goes through stretching every muscle group, has illustrations, and gives progressive stretches, so you can start with very little flexibility, and over time, you can build to more advanced stretching.
I hope this helps.
Koffee