Zack wrote on Dec 10
th, 2011 at 2:50pm:
Confused as to where they are. If it was London, why do they have suitcases? (Man, whatever city it is, it looked awfully dingy.) It also appears Charlie is the only one not carrying a case. Hmmm.
Brian's the only one who's carrying what could be called a suitcase.
A quick google search shows that there's a "Donmar Theatre" in London's Covent Garden, although Covent Garden looks a lot nicer than the place in that photo.
And the wiki entry for it would suggest that its the same place as this photo, going by what it looks like now :

Theyve never played a concert in a theatre of that name, so it could be (as the name on the door suggests) they were just using it for rehearsing for maybe a radio or TV appearance. Its a very small venue.
http://en.wikipedia.org/wiki/Donmar_WarehouseTheatrical producer Donald Albery formed the Donmar company in 1953, the name reputedly formed from the first three letters of the names Donald Albery and Dame Margot Fonteyn, the prima ballerina and a friend.
In 1961, Albery bought the site, a space that was once the vat room and hops warehouse of a brewery. He adapted it for use as a private drama studio and rehearsal room for Fonteyn's London Festival Ballet.There's a reference in this feature on a Terry O'Neill photo exhibition to him taking photos of the Stones outside the Donmar Warehouse Theatre in 1963, so presumably it's from the same day as this photo :
http://www.professionalphotographer.co.uk/Exhibitions/March/Terry-O-Neill-50-yea...Edit - just found this :
http://www.chrisbeetlesfinephotographs.com/gallery/all-stock/rolling-stones-outs...The photo can be all yours for £1,850!