Ready, Set, Film
The movie set for Pretty Woman was not at just one location; the movie was filmed at many different locations around Beverly Hills, and also at the film studio in Los Angeles. Only one hotel there allowed shooting both inside and out, and so that hotel was used as the set for the majority of the film – the Regent Beverly Wilshere Hotel.
Source: hotels.com
For scenes that had to be shot elsewhere, the nearby Ambassador Hotel was used. Incidentally, it ended up being demolished in 2005, and can now only be re-lived in the movie. The fancy restaurant where the filming was done was, in fact, an actual restaurant. It was called The Voltaire in the movie but was actually named Cicada.