Cardinal Cap Alley is an alley in Bankside.
Bankside was a bawdy place, full of taverns, brothels then called 'stews' from the stewhouses, which were steam baths doubling as brothels. There were bear and bull-baiting pits and, in the time of Shakespeare, public theatres. Cardinal Cap Alley, off Bankside, used to lead to a brothel called the The Cardinal's Cap which was so-called because it had been owned by Henry Beaufort, the Bishop of Winchester, who had paraded here, wearing his red hat, after being appointed a cardinal by the Pope.
In the photo, the entrance to Cardinal Cap Alley is under the lamp, left of the yellow door.