New Scotland Yard is headquarters for the Metropolitan Police Service, which serves most of London.
The large building features in The Cuckoo’s Calling and The Silkworm. Strike seems to find himself at New Scotland Yard after bodies are discovered. After finding the body of Owen Quine, he’s kept there for hours (most likely partly in revenge for his humiliating the Met by solving the Lula Landry case) as the authorities take their time questioning him.
Strike and Robin also visit the headquarters in Career of Evil to view crime scene photographs with Wardle.
Frankly, New Scotland Yard is a very plain-looking building and area, but if you’d still like to check it out in person, you can find it here.