This was filmed at the end of august 2006 in Pittsburgh just outside the Andy Warhol Museum.
You will see the Andy Warhol Bridge, also known as the Seventh Street Bridge, spanning the Allegheny River in Downtown Pittsburgh, Pennsylvania and it's the only bridge in the United States named for a visual artist.
The bridge was renamed for Warhol on March 18, 2005, as part of the tenth anniversary celebration for the Andy Warhol Museum. The museum is nearby at 117 Sandusky Street, a street which leads to the bridge from the north side of the river