Take the 5th St. exit east all the way across town. You will go almost all the way to I-35 before turning left on Red River St. Actually, if you can park anywhere within a five-block radius of 5th and Red River, do it! The Velveeta Room is on the southwest corner of 6th St. and Red River, right next to Esther's Pool. Look for Beecher's Harley out front and a guy with a ponytail and a beret trying to carnie in passerbys.
Get off on 3rd-8th exit. Start looking for parking spots. The closer you are to 6th and Red River, the less you'll have to walk. The Velveeta Room is two blocks west of I-35, right next to Esther's Pool. Look for ancient hippie on corner spinning tall flowers on his chin. You are very, very close.
Good luck. Street parking can be found, but it's not easy. You might want to spend a few bucks and park in a pay lot (ie southeast corner of Fifth and Red River) near the club.