If you walk down Bangla to the beach road, and turn left, it's about five or six blocks down, on the left. It's close to the McDonalds that's also in that area. Speaking of McDonalds, I think they're building a new one right near the end of Bangla - at least that's what the guys working there tell me it's going to be.
Two things to remember nowadays - always make a mental note of where you're going to run to if the rain starts unexpectedly, and always have a plastic baggie to put your camera and phone into in case you can't get out of the rain quickly enough.
Things did seem to keep on going very, very late last night. There were still lots of people hanging out on the streets at 4:30am. I'm not sure what time most of the bars officially closed, but several were still quite open way late, although the lights and music had been turned off.