The Nikolaievsky Cavalry was on the Lermontovsky Prospect in St Petersburg. The building (exterrior) is pretty shabby now, but I do have some phots I took there in 2008, which I will upload when I can work out how to.
There is quite a lot about the school in 'Russian Hussar' by Vladimir Littauer, which, I believe, has fairly recently been reprinted in English.
Ann