About the location (from here):
Located in the centre of the Buen Retiro Park in central Madrid is an imposing glass palace modelled on London’s Crystal Palace. It was built around 36 years after its London counterpart in 1887, and designed by the architect Ricardo Velázquez Bosco who was responsible for another building in the park, the Palacio de Velázquez. He had also worked on such prestigious restoration projects as the Mezquita in Córdoba and the Alhambra in Granada.
The Palacio de Cristal, in the shape of a Greek cross, is made almost entirely of glass set in an iron framework on a brick base, which is decorated with ceramics. Its domed roofs makes the structure over 22 metres high. The glass palace was created in 1887 to house exotic flora and fauna as part of an exhibition on the Philippines, which was then still a Spanish colony. The exhibition spilled out into the park itself, and included a reconstruction of a native Philippino village. The palace is used today for contemporary art exhibitions organised through the Reina Sofia Museum. In front of the entrance to the palace are steps leading down into the large artificial lake of the Retiro Park. The lake contains ducks. geese, black swans and terrapins, who will swim close to the steps, or you can hire boats on the lake for a closer view.

Movies shot at this location:
Asku Laska song from Nanban