Kate surprises the Tracksuit Mafia out a second story window of this New York toy store (stepping on a giant piano keyboard–a possible homage to the Tom Hanks film Big). Later she engages Wilson Fisk one on one in a fight inside the store.
While parts of the episode did include the iconic toy store in Rockefeller Center, the moments where Kate attacks Fisk, and where he gets hit by the car appear to have been filmed in Atlanta, somewhere. At this time, any other location, is unknown.
(Hawkeye S01E06, 2021)