In the Idlewood area (between the three way highway section and the red line where the train is passing on your map) is the Alhambra Club. You can find it easily by the four torches at the entrance. Once there, you can practice your dance by pressing the corresponding buttons (A, B, Y, and X) as shown on the screen). You can also play some video games at the arcade machine or buy some food or drinks at the vending machines.