You are required to file the I-130 in the U.S. You cannot file that at the U.S. Embassy. Here is a link to the K-3 spouse visa process:
And you would provide the address in which you currently live in order to receive correspondence quickly. Once you move, you would notify by using form AR-11 which can be found at www.uscis.gov.
Looks like there has been a change in the procedure in the U.S. Embassy in Cairo. Here is a link:
So it seems that for now, you can file the I-130 at the Embassy.
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