They were headed to the FAI Foundation Gala in Milan in this set of photos. I love this coat/dress combination a lot. The jacket reminds me of the Yohji one she wore to the Municipal Art Society, only with a shinier material.
Some of these are the same shots, but of varying quality and size. There are a few HQ ones in here too.
UPDATE: Jessika has information on what the FAI Foundation is all about, so please see the comments below!