Here's a good trick for remembering when to use the preposition "at" for location: both "at" and "address" begin with the letter "a." So if a place has a specific address—if a postman can deliver a letter to it—then use "at." Examples:
"He lives at 123 Main Street."
"They are at the cinema" (it has an address)
"She works at Barclay's Bank" (it has an address)
Likewise, you can't use "at" for places without an address:
"He lives in Italy" (not a specific address—you can't deliver a letter to Italy itself, only to a place within Italy)
"They have a house on the beach" (the beach does not have an address)