The setting of this poem jumps around a bit without the reader knowing too much. The poem starts out with no clear setting, until we find out that the speaker is talking about a bar he went to. After that, the poem jumps back a few nights to when the speaker saw this musician in poorly lit, probably smoky dive bar in Harlem. The bar is so crummy that it can't afford electric lights. All the big venues had their fronts covered in flashing lights and big signs. You could probably walk by this place during the day and not know it was there; but, at night, you can hear it across the street.
Also, this poem was written during the Prohibition era. You couldn't legally buy or make alcohol in the United States during the 1920s, so there are probably some unmarked bottles of who-knows-what sitting behind the burly bartender.
We don't know how the speaker knows that the musician went to bed in a certain way, but the next setting is the musician at home. We watch him sleep in his bed, but not in a creepy way (if that's possible).