Jennifer Robb, who performs as Anni-Frid, said: "We arrived at a building which looked like a big stronghold with metal security gates. We had to put all our belongings through an X-ray machine. They took us to a guest house for the night and the next day we were taken for lunch at a canteen full of security guards and soldiers. The security was very tight and there were cameras everywhere. At one point I went outside to get some fresh air and there was a man with a machine gun who said something in Russian and made it very clear that I wasn't allowed to wander anywhere on my own.