It stands on the Marylebone Road. There is some more detail about it at the excellent Ornamental Passions site.
Less well known, by the same little known sculptor, is this bronze.
Estcourt J. Clack was a full-time woodwork teacher at Blundell's School in Halberton, Devon. He won a competition to produce this fountain. It is one of the many fountains commissioned by the Constance Fund. More on this from the National Archives here.
Update May 10th 2011. I walked past the site of "Diana in the Trees" and the fountain and statute have gone. No doubt they have removed for conservation or repair. Does anyone know when they are due to return?