The 'Argyll Rooms' venue opened in 1806. A new building was designed, as part of the Regent Street redevelopment, by John Nash himself, to provide a concert hall, other public rooms and shop space for the publications of the Royal Harmonic Institution who opened the building with a performance on 28 February 1820. The Institution was not a financial success and, coincidentally we're sure, the building was destroyed by fire in 1830. It was replaced with houses with shops on the ground floor.
The Wikipedia page is very informative.