There are several threads on the Larry/Lucy's cabaret. Check the Mod's Picks for some help there. In the Welcome Newbies thread there is a summary as well.
In short when you paid the money he told you where to find the cabaret at that time. You had to move your mouse over that section of the map to find the hidden icon and click it to enter the cabaret.
Before you actually pay I would suggest you read the other threads.
If you already paid but then went onto another case then you lost out on your chance to visit.