The MI-5 building that Gerry and Brian enter is the Freemason's Hall, Great Queen Street, Covent Garden, London. This is the same building used as the MI-5 headquarters in the British series Spooks (2002-2011), broadcast in the US as MI-5.
In the MI5 building, Gerry jokingly calls Brian "Miss Moneypenny". One of the characters is played bij Samantha Bond, who actually played Miss Moneypenny in some James Bond films.
When Gerry and Brian go into the MI5 building, the soundtrack is a pastiche of 60s spy film theme style.