Hello, I've fancied Money For Nothing since ages. Not only was the song great, but the video was cutting edge for its time. And I finally found where the two videos-within-a-video were filmed.
http://www.youtube.com/watch?v=wTP2RUD_cL0

The one with the guy in red was filmed at the Budapest Novotel Congress Centre and Hotel. So here is the scene in question from a fan-made video:
http://www.youtube.com/watch?v=bHnVMiFC8sk

The same hallway today:
https://irs3.4sqi.net/img/general/width960/yS9mFhNMlfs5Pnc4g3h80bWr2DzUimiXPQVgeb9SNoE.jpg

You can see it in the lower middle section here: https://static.panoramio.com.storage.googleapis.com/photos/original/119032049.jpg

The scene with the band on the roof top was filmed here. Note that the former brown color was replaced by yellow as the hotel was refreshed:
https://irs2.4sqi.net/img/general/width960/3132569_2HBhhCP64vmUGqCSrIgbUAIY0IqCBp9NXHH2mjmT-XQ.jpg

If you wonder where the girl from the Sally bit pranced around in her lingerie, she did it at the Fisherman's bastion - a famous building in Budapest.  :) I've heard that many DS fans have visited those placed in Budapest due to the music video.

That's really interesting!  I like hearing or seeing trivia about famous music videos.

I once looked up where the scenes from the video "Holding back the years" from Simply Red were filmed.  It seemed like a picturesque town (albeit a lot of damn steps. - Who needs Stairmaster?)  ;D

A little coastal town in England, called Whitby.  I "visited" it from the internet.