“It seems you’ve become useful again…”
The door can be found at the southeast end of Westminster Bridge, just opposite Big Ben and the Houses of Parliament. The name Vauxhall Cross is a reference to the fact that the real Mi6 HQ is located at the end of Vauxhall Bridge and close to the real tube station called Vauxhall. Since Bond would have had to walk approximately 2 km to get to the real Vauxhall Station, it is implied that the secret station is located somewhere along the south bank.
Once when I visited the place, the door was open and I got a peek inside. Behind it is a small room housing an electric central, so don’t be disappointed if you can’t find the steep staircase that Brosnan walks down. That scene and the following at the tube station were shot in studio.
“An abandoned station, for abandoned agents…”
Another famous location that can be found nearby is the lamp post that was used in the promotional photos of George Lazenby when he “took office” after Sir Sean. That lamp post can be found on the other side of the street, just opposite of the secret Mi6 door.