Nick
If you are with PW then you will be ok but it was a bit of a culture shock to us English !!
We went with our solictor who goes there several times a week - the building is always busy and surrounded by a hundreds of immigrants from all parts of the EU looking for residence and legal approval to be in Spain
The NIE "office" is around the side - there was a huge a unruly crowd queuing up (apparently the police often get called as fights and scuffles break out) Ironically I would guess this is largely because as the Polaris punters and others waltz to the front of the queue right under the noses of guys who have been there for a long time !
You enter into a reception desk where some very hassled looking guy looks at your passport and makes you sign your a sheet containing your NIE number - takes about 20 seconds and you are out - the NIE proper normally follows in a few days.
Rgds
Mark