Both are correct, but you need to understand the difference between "in" and "at". If you apply a vague "commonly used" rule here, you'll definitely make mistakes. If you are "in" a place, that area has limits (eg. walls, a fence, a border etc) and you are surrounded by those limits. Even a general area will work (in the corner, in the centre). If you are "at" a place, it means you have arrived there. "At" is a point in your movements through time and space. When you write "he was having dinner at a restaurant", you are telling me that he had gone to the restaurant for dinner.

"having dinner at a restaurant" is the right one. :)

I have always been taught (correctly or incorrectly) that in these two examples, "in" or "at" is interchangeable. Meaning you could correctly say both . . . "I am having dinner at a restaurant." "I am having dinner in a restaurant." Both sentences convey that your physical location is at/in a restaurant.