Gamefishing isn't open yet. You can fish Mendota above the dam but I'd just use little panfish stuff. Doubt very much that you will catch anything there right now.
Don't fish the river below the spillway for a few blocks. It's a fish sanctuary until opening day. You will see flags and signs floating in the water.
I've been shining the river a few blocks down on the way to work each night and have not seen any walleye eyes sparkling yet and have not seen any panfish or minnows along any rocks either.
This time of the year if you don't have a boat and are shorefishing I'd find a nice shallow bay and fish in the afternoon after the sun is up for a while. You might get something in Monona Bay right now.