I can’t prove it, but based on the Marni bag she’s carrying, the Harvey Nichols bag he is carrying, and the fuzzy sign behind her that looks like "Carlton Towers Place", I’d say they are in London. Probably early 2004 when she was doing "When Harry Met Sally".
Just a guess, but I think I see a blurry double decker bus in the background in the middle photo. Also the pavement (sidewalk) and traffic lights look british to me. I am going to guess its London. Anyone else have a guess?
It is indeed Sloane Street, just a couple of hundred yards south of the Scotch House junction in Knightsbridge. They are about to walk past (or maybe into) the Carlton Tower Hotel, which is on their left, and overlooks Cadogan Place just to the south.