Take either the 4 or 5 train to the 138th St. Station at Grand Concourse in the Bronx.
Leave the subway station by taking the exit up the stairs to the right as you face the ticket booth after going through the turnstiles.
You are on Grand Concourse. Follow Grand Concourse south under the bridge for two blocks.
The Skating Center is on the west side of the street, across the street from the side the subway entrance is on. It's a huge warehouse-like building with a giant lit-up sign on top of it. Use the purple door on the north side of the building at night... it should be slightly open.
At night the neighborhood is best characterized as "deserted underdeveloped industrial". It seemed safe enough to me, but I wouldn't recommend loitering there.