Yes it was filmed at castle howard
The execution of Anne Boleyn was filmed at Dover Castle in Kent.
it is filmed in many places, if you look up where is hogwarts filmed? on google you will find many of the places they filmed in and what they used these places for. Castle name : Alnwick Castle
The castle exteriors were filmed at Eilean Donan Castle (see http://www.eileandonancastle.com/).
The 1967 film was partly filmed in Castle Combe, Wiltshire, UK.
They filmed it in a fantasy land.
In Hampshire, it is filmed in Highclere Castle.
I have heard that it was filmed at dicks castle along the Hudson, just opposite of the West Point military academy.
They film most of it in Leavesden Studios and some of the castle was filmed in Alnkwick castle.
Alnwick Castle
Hohenwerfen (the eagles castle in german)
It is filmed in Utah's Castle Valley, north of Moab, on a structure known as "The Rectory".