Seef Mall is located in the Seef district near the Ritz Carlton and is marked on every map I've seen. Any taxi driver will know where it is.
If you are looking for the same things you are used to back in the U.K., head to the Seef Mall. You'll find Debinham's, Marks & Spencer, Next, and other High Street shops that are familiar.
There is also a small bookstore in the Seef Mall with a wide selection of English-language books and tons of magazines.
There are also two cineplexes in the mall, at each end. At the east end of the mall, there is a huge arcade with all sorts of games - a great place to entertain kids on a hot summer weekend.
When I compared prices, things here seemed a little more expensive than they were in London, and since the dollar is currently (May 2005) in the toilet, London was not cheap for this American (July-September 2004). Thank goodness for the expense account. So if you're just in Bahrain on holiday, I'd wait to make those purchases back in London. If you're here for an extended period, though, you can get most things you want.