The main entrance to Whitehall Palace, situated on Whitehall, next to the Banqueting House, roughly on the junction with today’s Horse Guard’s Avenue. See this map and pp.480-1 of the Latham & Matthews Companion.
The overlays that highlight 17th century London features are approximate and derived from Wenceslaus Hollar’s maps:
Open location in Google Maps: 51.504809, -0.126085
Whitehall gate. The gate here represented and the house adjoining have since the engraving this print been pulled down, to render the street, more spacious and convenient. It belonged to the old palace of Whitehall, and was built by Henry VIII. from a design of Hans Holbein the celebrated painter. Here were on each side four bustos in front with ornamented mouldings round them of baked clay in proper colours, and glazed in the manner of delf ware, which has preserved them intire to this time, whereas the festoons of stone in the banquetting house, which was built much later, are so corroded as to be scarce intelligible.
---London and Its Environs Described. R. Dodsley, 1761.
An illustration of Holbein's Whitehall Gate: http://commons.wikimedia.org/wiki…'s_Gate_and_Banqueting_Hall_-_Google_Art_Project.jpg
Chart showing the number of references in each month of the diary’s entries.