Location #1: Jay follows the suspect to..
The Guggenheim Museum, 1071 5th Avenue, Manhattan, New York, United States
Location #2: Saucer Landing
At 4927 Bennett Road, Simi Valley, California, United States
Location #3: Jeebs’ Pawn Shop
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Location #4: MIB Headquarters
504 Battery Place, Manhattan, New York, United States
Location #5: Rosenberg Fine Jewelry
54 Macdougal Street, Manhattan, New York, United States