It was there, you just didnt see it. When Larry the Toe, the man who approached you, tells you where to find Big Lucy, pay attention to the location he is telling you, then go to the map. Find the location he was speaking of, take your cursor and go over that area, and when u find it, your cursor will turn into a hand. Click, and viola....you are at Big Lucy's Cabaret :)
The only problem is that Ctrl + A doesn't work on all browsers. But it's worth a try to see if it works on yours!
Also, if you can't find the cabaret right away, remember that you will lost the location if you start a new case. Otherwise, there's no time limit involved, so take your time and run your cursor over the whole map.