Police Story 4: First Strike

Whilst working for the CIA, Chan Ka-kui (Jackie Chan) is assigned to follow leads of a nuclear smuggling case. He follows a woman named Natasha to Ukraine, when he realizes that she had been hiding vital information, Ka-kui calls for backup and she is later arrested. However, Natasha's partner is an unknown man, who turns out to be Jackson Tsui (Jackson Liu), a Chinese American nuclear scientist with CIA links, suspected of stealing a nuclear warhead. Ka-kui follows Tsui to a restricted area, and after a trap set by Tsui, the CIA agents together with Ukrainian authorities engage in battle. Ka-kui finds a briefcase which contained evidence from Tsui, but as he is chased by unknown forces, Ka-kui loses the briefcase as he falls into frozen waters.
When he recovers in Russia, he meets Colonel Gregor Yegorov (Yuri Petrov) who explains the situation. Ka-kui goes with the FSB and is taken to Moscow where he discovers he has been assigned to work with Gregor to solve a similar case involving nuclear weapons being smuggled out of Ukraine. His task is to track Tsui, who disappeared after their last encounter. He is taken by a Russian submarine to Brisbane, Australia, where Tsui's younger sister Annie (Wu Chen-chun) works at an aquarium doing shark shows. Uncle 7 (Terry Woo), the Tsuis' father and the local Triad boss, is seriously ill and Ka-kui suspects the criminal will show up soon. Unknown to Ka-kui, Tsui is hiding at the hospital and has given a nuclear warhead (disguised as a small oxygen tank) to Annie, who hides it at the aquarium.
While following Annie, Ka-kui gets held up by Tsui, who claims to have a deal with Gregor. Ka-kui, after realizing he has been used by Gregor, decides to return home, but two men are sent to kill him, and he is framed for the murder of Uncle 7. He attempts to clear his name by going to see Annie at the memorial hall, but he is (unsurprisingly) unwelcome, having to fight bodyguards and Tsui has to eventually rescue him. Tsui explains that Gregor caught him on a CIA assignment three years before, and forced him to turn into a triple agent: a CIA agent ostensibly turned by the FSB, but in reality serving Gregor's private criminal schemes.
Annie, Ka-kui and Tsui decide to work together to find Gregor and bring him in. Uncle 7's elaborate Chinatown funeral becomes the scene for a complex shootout between the various parties. Annie and Ka-kui attempt to retrieve the stolen warhead from the shark pool (so that they can return it to the police), but Gregor and his men follow them, leading to a climactic confrontation underwater. During the fight, Gregor shoots the aquarium and shatters the glass which releases the killer shark. During the confusion, Gregor escapes with the warhead and kidnaps Annie to a getaway boat. Ka-kui then saves the tourists from the shark and pursues Gregor. While Gregor escapes in the getaway boat, Ka-kui finds and drive a display car onto the boat as Annie escape its landing. The car pins Gregor and allows Ka-kui to successfully retrieve the warhead and saves Annie.
Gregor and Tsui are apprehended by Australian police and turned over to Russian authorities. The case is solved, Ka-kui is thanked for his work by the FSB and returns to his work in Hong Kong.

Question: Where are Ka-kui and FSB taken?
Answer: Moscow