About the location (from Wiki):
The Winter Palace in Saint Petersburg, Russia, was, from 1732 to 1917, the official residence of the Russian monarchs. Situated between the Palace Embankment and the Palace Square, adjacent to the site of Peter the Great’s original Winter Palace, the present and fourth Winter Palace was built and altered almost continuously between the late 1730s and 1837, when it was severely damaged by fire and immediately rebuilt. The storming of the palace in 1917 became an iconic symbol of the Russian Revolution.

The Winter Palace is said to contain 1,500 rooms, 1,786 doors and 1,945 windows. The principal façade is 500 ft (150 m) long and 100 ft (30 m) high. The ground floor contained mostly bureaucratic and domestic offices, while the second floor was given over to apartments for senior courtiers and high ranking officials. The principal rooms and living quarters of the Imperial Family are on the first floor, the piano nobile. The great state rooms, used by the court, are arranged in two enfilades, from the top of the Jordan Staircase. The original Baroque suite of the Tsaritsa Elizabeth running west, fronting the Neva, was completely redesigned in 1790–93 by Giacomo Quarenghi. He transformed the original enfilade of five state rooms into a suite of three vast halls, decorated with faux marble columns, bas-reliefs and statuary.

Movies shot at this location:
Pilli Pilli Vache from Arjun