I went to the Niger embassy in Bamako in 2008 by accident, as i thought it was the NIGERIA embassy......according to what I had read in the Lonely Liar anyway! So the Lonely Liar got the 2 mixed up.
From memory, and sorry for the vagueness, it is not very far at all from the bridge over the river close to the big tall golden coloured bank......it is along a row of shops, you'll see a Niger flag above one building, and you have to go up some stairs. STaff were very friendly there, and told me where the NIGERIAN embassy was instead! :-)
However, if you read the British FCO advice, they state that Niger visas issued in Bamako will not be recognised by the authorities, and you will be turned back. Apparently the embassy was supposed to stop issuing them to travellers, but carried on regardless......this was according to the FCO advice:
Niger travel advice
Wether this is still the case I am uncertain.