After Loque has blown up the warehouse in 'Albania', Bond starts chasing him on foot. The entire chase and finale was filmed at the Old fortress in Corfu, covered earlier. Here the filmmakers very cleverly used various angles and spots to give the chase continuity when it's actually filmed on several different locations around the fortress.
This white building has been removed in the movie as you can see below.
The stairs are found close to the tunnel and just above the Warehouse, but the place where Bond is coming out was filmed at a different place of the fortress. The chase later ends at the very eastern part. Here you can find the stone gate where Bond finally shoots Loque and the cliff where he avenges Ferrara by kicking Loque's car over the cliff. This magnificent location will be covered later.
James Bond locations will return