About the location (from Wiki):
St. Paul’s Square is a very popular public square in the Maltese city of Mdina that also happens to be the od capital of Malta. The square is located in the heart of the city and the prime attraction of the square is the beautiful St. Paul’s Cathedral that was built in the late 17th century. The cathedral has an impressive dome and the huge interior has some fine frescoes and a large painting showing the conversion of St. Paul.

Movies shot at this location:
Hai Deewana song from Dhaai Akshar Prem Ke
Bahut Khoobsurat Ho song from Khoobsurat
Scene where Shah Rukh & Kajol miss their train from Dilwale Dulhania Le JaayEngE
Naraaz Kyun Ho from Jaane Jigar