Per the title, according to the Irish legend of the leprechauns, at the end of every rainbow found after a rainstorm is where they hide their precious pot of gold.
The building exterior used at the beginning of the episode, the one where Diana parks her car in front of, is used in virtually every episode of " Lois & Clark: The New Adventures of Superman" and is located on a side street next to the Daily Planet. In this case, it's meant to be a building in London.