The Fenix Underground is at the South end of downtown Seattle, very near the Kingdom. From just about anywhere in the Seattle area:

1. Get on I-5 and point yourself towards downtown.
2. Take the James Street exit (I think that's exit 154A) off of the freeway.
3. Turn right onto James Street, and proceed down the hill to 2nd Ave.
4. Turn left onto 2nd Ave. This next bit can be tricky if you're not familiar with the area, so pay attention:
5. Take the second possible right turn. This is a shallow right, which actually keeps you on 2nd Ave, since 2nd happens to bend right there. If you make a hard right turn--the first right turn--then you'll find yourself on Yesler. If you make the correct turn, on the other hand, you'll be able to look straight south down 2nd ave to see the majestic Kingdome in front of you. Unless they've torn it down by the time you read this. Similarly, if you don't turn at all you'll end up on something called "2nd Ave Ext" which isn't the real 2nd Ave, thus leaving you hopelessly confused, so don't do that.
6. Continue due South on 2nd Ave for about two blocks. The Fenix Underground should be on your right (the west side of the street) on the corner of 2nd Ave and Jackson St. This is a good time to start thinking about parking. At the time of night that most people go dancing, you should have no trouble finding free street parking, but in a pinch there are always the pay lots or the Kingdome lot.