Sopranos filming location - Female Suspects set
In real life, this location is known as: Thompsons St, New York City, NY.
It appears in the following episode: 2x07
Fun fact: Female Suspects is a film by Jon Favreau. In "Friends" (3x18), the character played by Jon Favreau is first seen in the Moondance Diner, which was literally around the corner from this location.