Great Scotland Yard is the street in Westminster, London, used to film the visitors entrance to the Ministry of Magic in the Harry Potter films. It is first seen in Harry Potter and the Order of the Phoenix when Arthur Weasley takes Harry to his disciplinary hearing.
The way in to the Ministry is via a telephone box which descends underground. Unfortunately, there is no telephone box there in real life. The one seen in the film was a prop.
The street is seen again in Deathly Hallows Part 1, just before Harry, Ron and Hermione use Polyjuice Potion to enter the Ministry undetected.
You can find Great Scotland Yard on the map below.