London's Windmill Theater had comics, song-and-dance acts, dancing "girls," and a specialty - a lighting shift that revealed nudes posed motionless in "artistic tableaux." When the lights shifted back, they disappeared - hard work, six times a day. "We Never Closed," its neon sign boasted. The owners convinced the Lord Chamberlain (who censored shows) that a nude who didn't move wasn't "theater," but "art," and under the same exemption as art in the National Gallery. But within a few years, strip clubs opened, and The Windmill was old news.

Director Stephen Frears remembers The Windmill, founded by Laura Henderson (Dench). Widowed in the 1930s, she went home from India with money but "bored by widowhood." Seeing an abandoned theater on Great Windmill Street, she bought it and put on a show. Her impresario Mr. Vivian Van Damm (Hoskins) and she put on a "non-stop revue" - variety show. The theater was a hit, but lost money when it was widely copied. Mrs. Henderson's inspiration saved the theater. "Let's have naked girls."

During WW2's Blitz, theaters, restaurants, and pubs closed, but not The Windmill. Mrs. Henderson refused, because the theater was safely below street-level, and its shows boosted morale. Her son died in WW1, and a French postcard among his belongings suggested he'd never seen a naked woman. She wanted to spare the new British heroes his sad fate.
"We never closed" became the theatre's war cry. Both Mrs. Henderson and Van Damm are spirited and stubborn. Van Damm ran a nude show, but his discipline was strict and his standards high. Although the two became fast friends, the owner and her manager maintained reserve. Dench and Hoskins bring style to their roles: Van Damm is always natty; impresarios in that era glowed with prosperity, no matter how shaky their money. Mrs. Henderson is a British lady whose age and bearing offset her occasional "blue" words.

In a key scene, Mrs. Henderson has lunch with the Lord Chamberlain, debating exactly what her shows will reveal. "Will you show foliage?" he asks. "Try the brie," she suggests. He finds it agreeable, and returns to "the somewhat sordid topic." Why are men always so concerned, Mrs. Henderson wonders, about "the Midlands"? "Mrs. Henderson Presents" and The Windmill are both good shows, nostalgic for desperately jolly songs and earnest young magicians pulling pigeons from their pants.