There are a number of embassies located along Jalan Ampang in Kuala Lumpur.
If you are taking the train, get down at the Ampang Park LRT station. From there, you will see a big junction interchange. You should walk ahead with Ampang Park Shopping Complex on your left and the Ampang Park LRT station on the right side. It is the same road as where KLCC is located therefore as you walk ahead and you turn back, you would see the Citibank building and Twin Towers at your back.
So far, the embassies, consulates that I know are located in Jalan Ampang are:
2. British High Commission- but the guard there did not allow me to take picture. It is located opposite the Spain Embassy.
3. Spain Embassy (Kedutaan Sepanyol)
Office hours: Monday to Friday 8am to 3pm
Consular section: Monday to Friday am to 1pm
Closed on Saturdays, Sundays and Public Holidays.
More information on how to obtain a Thai tourist visa can be found here.