The Windmill Theatre was a beloved British institution, and its passing has been mourned and its history remembered. The above program cover shows a sample of the classic cancan performed there.
Two films/TV Series in which it figured are "Mrs. Henderson Presents" and "The One and Only Phyllis Dixey." There are various tributes on the Web too, including arthurlloyd.co.uk and the Flickr pages of windmill3, where this photo originated
The cite for the latter is:
http://www.flickr.com/photos/40604141@N02/8183706438/in/photostream
You should look around in windmill3's Flickr Photostream for many more photos from the Windmill and its Revudeville.
arthurlloyd.co.uk features photos I haven't seen elsewhere and a lot of reminiscences about the Windmill.
The main page is:
arthurlloyd.co.uk
The Windmill is featured on:
http://www.arthurlloyd.co.uk/Archive/Feb2003/Feb2003index.htm
(See the photo of the real Mrs. Henderson and check out the links on that page)
http://www.arthurlloyd.co.uk/Archive/Feb2003/Windmillgirls.htm
http://www.arthurlloyd.co.uk/Archive/Feb2003/WindmillGirls2.htm
http://www.arthurlloyd.co.uk/Archive/Feb2003/Slides/SlidesIndex.htm
http://www.arthurlloyd.co.uk/Archive/Feb2003/KenBandy/BackstageCameraman.htm