my go-to guy for answers on all things that have me stumpified does it again with easy-to-follow directions to the safehouse in milwaukee (take that, mapquest!!!):

Take 45 South to 94 East (A left at the Zoo interchange)
Take 94 eastbound to downtown, and exit 1D (Plankinton Ave.)
Go left on Plankinton, drive about four blocks, and turn right on State St.
The Safe House is in the alleyway across from the Pabst Theater... if memory serves, the ally is next to a bar/restaurant called "The Newsroom"