Shame

Brandon, a New York City executive, makes eye contact with a woman wearing an engagement ring on the subway during his morning commute. She reciprocates, but when they exit, she disappears into the crowd. He masturbates in the bathroom at work. Brandon and his married boss, David, hit on women at a club; later, Brandon has sex on a quiet street with the woman David was pursuing.
Brandon has been ignoring calls from sister Sissy, a lounge singer. He arrives at his apartment to find her in his shower. Sissy has a few gigs in the city and asks to stay; he later hears her pleading with her lover on the telephone not to reject her. After Brandon's company computer system is infected with a virus, they find his hard drive was full of pornography. David assumes Brandon's intern is responsible.
Brandon rebukes Sissy for balancing precariously on the subway platform edge. Later, he and David watch her perform "New York, New York" in a bar, which makes Brandon emotional. David flirts with her and notices the scars of self-inflicted wounds on her arms. Sissy has sex with David in her brother's bedroom while Brandon, disgusted, goes running. Later that night, Sissy attempts to get in bed with Brandon; he orders her out of the room.
Brandon goes on a date with co-worker Marianne; Marianne, recently separated, has a positive attitude toward commitment, while Brandon dislikes the idea of marriage and admits that his relationships have never lasted longer than four months. They go home separately.
That night, Sissy discovers Brandon masturbating in his bathroom. He attacks her and accuses her of spying on him. She finds his laptop open on a pornographic webcam site. Brandon slams the laptop shut and a disturbed Sissy leaves. Brandon disposes of his pornography, sex toys and laptop. At work, he kisses Marianne and the two get a hotel room, but Brandon cannot maintain an erection. It becomes apparent that Brandon cannot perform when emotions and affection are involved, but rather when he's feeding his sexual addiction. Immediately after Marianne leaves, Brandon is seen having aggressive sex with a prostitute against the window of the same hotel room.
Brandon tells Sissy that David has a family, and insists that she leave. She says that, as family, they are supposed to help each other, but Brandon accuses her of being needy and a burden. Brandon goes to a bar and comes on to a woman, describing in detail what he'd do to her sexually. She is close to succumbing when her boyfriend intercedes. Brandon laughs in his face and tells him what he was saying. After he leaves the club unsatisfied, the boyfriend follows him out and brutally beats Brandon. When he is physically barred from entering another club, he goes to a gay bar across the street and is fellated by a man. After leaving, he listens to a voicemail message from Sissy crying as she tells him they aren't bad people, but come from a bad place. Nearing the point of withdrawal, Brandon has three-way sex with two prostitutes.
While Brandon is riding the subway home, the passengers are asked to leave the train due to a police emergency (a possible suicide). He frantically calls Sissy, but she does not answer. He runs home to find Sissy sitting on the bathroom floor covered in blood, having slashed both wrists. He attempts to stop the bleeding while calling on his cell for help. She survives and he comforts her in the hospital. After leaving, he walks until he collapses, sobbing in the rain.
Some time later, Brandon is riding the subway. While looking around, he notices an attractive woman is staring at him and her smile is unwavering. He appears to look at her with indifference, yet she is undeterred. She gets up before the train stops to stand with her pelvis in front of him. Her hand catches his eye and he notices from her rings that she is the same married woman from the beginning of the movie. The scene cuts to black before the audience finds out whether he's truly changed.

Question: Where do Brandon and David watch sissy perform?
Answer: A bar.