Referring to Jenbel's brilliantly selected map:

To get to Shepherd's Market, come out of the Green Park Tube on the Mayfair (as opposed to the Green Park side) of Picadilly. Walk down the hill towards Hyde Park Corner. Turn right on White Horse Street (right next to the arrow on the map). This will take you into the Shepherd's Market neighborhood. At the first intersection, look around you. Looking straight ahead, is the pub Ye Grapes. You will find many restaurants on both the street going straight ahead of you and to your left. They are all storefront restaurants, mostl relatively small, and moderate in price. Sofra is off to your left. I can't remember exactly where L'autre is but believe it is to the left as well. All the restaurants are within a two (small) block radius. For Hilton enthusiasts, the Green Park Hilton backs up onto this area -- I have been able to look out my window there and see the happy hour crowd at Ye grapes -- but there is no direct access. The former London Hilton Mews, now the Park Lane Mews Hotel is at the other end of Shepherd's Market and the Park Lane Hilton towers over the whole area up at Park Lane.