Location #1: Dam
Verzasca Dam, Gordola, Switzerland
Location #2: Bike jump
Swiss Alps, Switzerland
Location #3: Racing with Xenia
Alpes-Maritimes, France
Location #4: Casino
Opéra de Monte-Carlo, Place du Casino, Monaco
Location #5: Quay
Port Hercule, Monte-Carlo, Monaco
Where was the sauna scene james bond vs Xenia Onatopp (turkish sauna)
Filmed ??
That was filmed on a set.
The IBM location was a set. It was confirmed on the audio commentary.
Nice catch!
Although a huge Russian Street set was constructed on the Leavesden back-lot by Peter Lamont to allow for the more dangerous stunts, a good portion of the Tank Chase was actually filmed in St. Petersburg, Russia. You can see the precise locations via the link below:
http://www.reelstreets.com/films/goldeneye/