Last June I went to London. The day I arrived I was so excited that once I was at my hotel I left my things and ran out to walk on the streets. The first place I visit was the Houses of Parliament, and then kept walking and enter into a narrow street, I think it was Cowley St, the buildings were very neat, and there were no people around, so I took a picture of the houses around and then suddenly the police appeared, they told me that I shouln't take that picture, and started asking questions about me, and asked for my ID, I gave them my passport and ID and then one of the guys called somebody and gave all the information he was reading on my documents, then we had to wait 15 minutes until they called him back and say that everything was ok. I was so scared, I didn't know where I was, 2 hours in London and my vacation is over. I was born in South America where a lot of people dissapeared for political reasons years ago. A lot of things were in my mind. after that it took me several beers in a bar to calm me down. I suppose that I was walking around goberment buildings, and also there was more security because it was the Queen Golden Jubilee week.
Could situations like this happen in Madrid or other cities in Spain?
what are the streets or areas we should avoid?

Rafael in Los Angeles