The lunchtime scene between David's character Ian and his boss/lover Louise was filmed at the Melbourne Exhibition Centre, which is located next door to the famous Crown Casino on Southbank.
There was nothing going on there that day, but it was a nice sunny day in Melbourne and it was a pleasant quiet walk. People were sitting and reading the newspaper or relaxing. It's a quiet part of Southbank, away from the shops and the crowds.
Here's the photograph from the movie:
Here's my photo from a similar angle:
And more shots taken by me:
The building just behind the angled sign is the Crown Casino. The two tall glass buildings in the first two shots are a part of the Rialto Hotel and Observation deck, where I also took some nice shots of the city. The Rialto was considered the tallest building in Melbourne at the time these photos were taken (March 2005). However, another, higher one was being built that claimed to become the tallest building in the world. They are the the Eureka Towers. You can just see the top of them behind the Crown Casino, and there's another shot of it on the After the Deluge page.