Unfortunately, I do not have a good answer to this question right now. I expect that if you ask your urologist, they should know the names of one or two places you could go. Nevertheless, it is possible that there may not be a local sperm bank. If you take a look at the Fertility Links page, a few sperm banks are listed that will take deposits via Federal Express. Once you find a place, you may or may not be shocked at the price of preserving your sperm.
Some sperm banks charge astronomical rates, while others are quite reasonable.
If there is more than one facility nearby, the odds are better that their rates will be competitive. It might pay to negotiate with them on the subject if your insurance will not cover the procedure. You definitely should ask ahead of time. A lot of them will not. Of course, if they DO pay for fertility treatments, then it only makes sense that they pay for sperm banking since that will be much cheaper than trying to recover viable sperm at a later date.