This building is called the Hawa Mahal or Palace of Wind/Air. It is located in the heart of Jaipur, the capital of one of the old princely states and now of Rajasthan one of the largest states in India.
As this side view shows, it is nothing more than a beautiful facade which is just one room thick. The purpose of this building was so that the ladies of the court could sit inside and watch the happenings of the market through the delicately carved windows while remaining unobserved themselves - sort of reality tv if you will - the next picture has a better full front view.