In fact the festival takes place at a different place each year. Here is the page were is the list of the previous places :
http://www.holmi.ru/about/geo/ , with links to Google Maps. For this year, the information is still a secret. It will take place from 11th to 14th of June.
Note that the festival is also called by the initials : "ПХ2008" or "ПХ 2008" (or 2007, 2006, …).
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edit: I see now that pennywiseguy2 already gave the page with the locations.