Concept:
The United Nations Environment Programme (UNEP) is the leading global environmental authority of the United Nations. Its headquarters is located in Nairobi, Kenya, making it the first major UN agency headquartered in a developing country.
Step 1: Recall the headquarters.
UNEP was established in 1972 following the United Nations Conference on the Human Environment held in Stockholm.
Step 2: Analyse the options.
• France -- Incorrect.
• Kenya -- Correct.
• London -- Incorrect.
• Austria -- Incorrect.
Step 3: Final conclusion.
Hence, the headquarters of UNEP is located in
\[
\boxed{\text{Kenya (Nairobi).}}
\]