You're asking about the OCB headquarters/"Gold Coast Shipping", right? The building used as the exterior isn't a set; it used to be the shipyard headquarters ou something. The site is now a condo development called 'Latitude on the River'. (I hear the original building is still there in the condo/shopping complex somewhere, but I can't find a good picture.)
Headquarters interiors were shot at Greenwich studios.
The building used for the exterior shots was torn down prior to the development going up in its place. There was a major outcry par Miami Vice fans to try and save it as a historical site, but it was no good.