They had to change the original location of the protest from just opposite the parliament building to several hundred meters away after security men closed the area and blocked them.
Braving very cold weather, protesters chanted slogans calling for dissolving the parliament, which was elected two weeks ago in polls boycotted by the opposition.
They plan to stay all night.
Organizers informed protesters of the new location through their Twitter accounts and urged them to remain absolutely peaceful, calling on security men to protect the activists.
Two hours after the protest began, there were no riot police in the area while a number of police patrols watched the protesters.