In English you talk about a "Law Firm." Also, you work IN an office, but generally AT a firm (though people tend to say 'in a firm' a lot too).* So, correct, in your case, would be:
1) "He worked at a Law Firm."
2) "He was working at a Law Firm."
* You do, however, say "I am AT the office." But that's only because you're indicating you're AT that location.