Dryden Chambers was a passage off Oxford Street, at no. 119, on the south side between Wardour Street and Great Chapel Street. It is all now gone, the space entirely occupied by shops:
The shot that establishes us in the vicinity of Oxford Street is actually a long way from Dryden Chambers, at the corner of Stratford Place:
For a thorough identification of the Frenzy locations see the excellent Movie Tourist blog, here.