That venue was the Civic Center in Lowell, MA. It was also the arena where HBK did his "lost my smile" speech, The Rock beat HHH for his first I-C Title, and the one where HHH and HBK did the fake European Title match.
It was where Michaels lost his smile, but the Vader/Monsoon thing was in Stockton, CA, the night after Royal Rumble '96.
The Lowell Memorial Auditorium really was a great venue for TV. I wish that WWE would run some smaller places like this again but it'll of course never happen unless business REALLY goes in the tank.