Marching bands outside my window

Here at UKIP press office central we're right in the heart of Westminster. This means that when the military musicians decide to take their instruments out for an airing they march and play just outside our window.

Just spotted something that rather confused me. So there's 20, 30 men in greatcoats and bearskins marching down the road and pumping out the 19 th century equivalent of pop music and behind them are another 20, 30 men (umm, a platoon I think from my limited military knowledge) in greatcoats and bearskins carrying that rather nifty looking new rifle.

There's also a rather pretty looking policewoman on a horse traling along behind them in her turn.

Why?

What might happen on a London street that a woman on a horse can deal with and thirty armed men cannot?

It just puzzles me.