The venue is State Kremlin Palace.

Formerly the Palace of Congresses - it is is now Moscow's biggest and most "prestigious" concert hall, as well as playing host to large official functions and events.
http://www.moscow.info/theaters/state-k ... alace.aspx
Joey has some beautiful pictures of the sites in Moscow on Notes From The Road -Located inside Moscow's historic Kremlin, the State Kremlin Palace is a venue for concerts, ballet, and opera performances. Built in 1961, it was originally conceived as a venue for governmental gatherings. Today, the space is home to the Kremlin Ballet and often used for concerts, and while the Bolshoi Theatre is under renovation it serves as the temporary home for the Bolshoi Ballet. The vast auditorium can seat up to 6,000, making it the largest concert hall in Russia.
http://leonardcohen.tumblr.com/post/125 ... cow-russia

Outside Red Square.
* Moscow, Russia

The Check-Point.
Papers must be on your person at all times.
* Moscow, Russia

The show today is at the State Kremlin Palace, which is like a Radio City Music Hall but totally New York-less.
* The Kremlin - Moscow, Russia

And the sound check has already taken place -Excellent seating.
* State Kremlin Palace - Moscow, Russia

Sound check has begun.
* State Kremlin Palace - Moscow, Russia

Bands all in for soundcheck.
Video screens are on the deck tonight which is a new thing.
* State Kremlin Palace - Moscow, Russia

View from catering. Dinner is on and doors are open. 90 minutes to show.
* State Kremlin Palace - Moscow, Russia