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The concert was held on February 20, 99 in Las Vegas Nevada in the MGM Grand Gardem Arena. Arena was 80%+ full, with the ticket prices ranging from US $35 to  US$150, which is the highest ticket price for HK artists there. Faye sang for about 45 mins in total, and an encore for 2 songs. 
Pictures above taken from Exit - A Faye Site
Megan's Concert Experience
(Taken from Faye Wong Mailing List)

Dave and I thought we were gonna be VERY VERY close to the stage... Argh 
but we weren't really close.. we were about 10-15 rows back.. but we were 
on the floor whihc was good!! My seats were almost dead centre to the stage 
so I was happy about that! Dave was in the SECOND ROW BEHIND me hahaha and Thomas was next to him.. When we found out where Thomas was sitting Dave and I named him the translator haha.. he didn't argue with us etiher, very 
nice guy.. Thanks for translating for us! And then Jenny and Nicki were 
supposed to be over to the right more and farther back, but the seats 
behind Dave and Thomas never filled so we moved them there, so about 6 
Fayenatics were all sitting together (kinda) haha.. Anyway we (dave, me, 
jenny, nicki, thomas) all met before in the aisle in the GGA and were 
wondering how to get the Vball and card back to Faye. It was given to Dave 
because everyone thought he was second row form the stage haha. But one of 
the ushers had been talking to me and my mom and he said since were so nice  (or somehing like this, he was kinda annoying so i tuned him out haha) he 
could get someone to put it in Fayre's dressing room. So, Irene, we gave 
the CARD and VOLLYBALL to the man who took it backstage adn put in ther 
dressing room. He said it was there and she should be there in about 20 


The concert started at about 8:15 I think.. Wen Chang came on at first and 
the lady next to me had her binoculars up the whole time he was on ahhaa.. 
I really liked the lighting in the whole concert (faye's and wen chang's).. 
Wen Chang sang "My Heart Will Go On" and "Memories" from Cats... He wasn't 
that bad but I was kinda tired of him and was very impatient for Faye 
hhaha. So at about 9:20 Faye came out.

They had the big video projection screen and she was on a block behind 
it, and it raised up and revealed her.. She was so pretty!! She had on a black top with one side sleeveless, black pants and this gold skirt over it.. and there were 2 big screens on the side of the arena which was really nice because they got close ups of Faye. Faye came out and started singing BORED. She didn't have her own band, or backup singers, so she sang all by herself, and I liked it a whole lot! When she first came out I thought her voice sounded a bit high but it evened out a litle later in the song. She sang this song really good though and it was a good way to start the concert. After this or maybe before, Dave shouted "faye you rule!!!" really really loudly (he's a big guy so he can yell very LOUD) hahaha.. and Faye kinda smiled a little.. you know she heard you! hehe.. I had a notepad and my camera in my lap so I was busy taking pics and writing own 
the set list.. Actually although it said no cameras on the tickets the ppl said if u put in a bag or something u can take it in and use it when the lights go out, so i did.. :)  
Set List  

Bored, Talked a little, Chesspeice, Wishing We Last Forever, Brink of Love 
and Pain, Elude (Mandarin version of Mong Jong Yun) for this the screen 
came down again and the porcupine came out of the volcano! It was really 
neat looking! Faye's little dance was so cute also! Sleepwalk, Love 
commandments, I think this background music was taped, because it didn't 
sound like it does live (i.e guangzhou) their ligthing was VERY GOOD for 
this though! Dated, hehe Jenny told me she wished Faye would sing this and 
she did, Jenny was very happy. I'm willing, this was soooo sooooo sooo 
wonderfully amazing! the lighting was all different colors, kinda like the 
video for it, it had red, blue, pruple, yellow lights, they were all really 
pale though.. it looked so cool with her coming thru the lights.. Talked 
and said it was the last song I think, You're Happy (So I'm Happy) She sang 
this one very good too! After Faye announced this was the last song a lot 
of the ppl got up and rushed down to the front and Faye waved to them but 
the crowd really really wanted to get down closer to the stage but security 
wouldn't let them.. Oh, after Wen Chang went off, like 30% (maybe a little 
less) of the ppl got up and left hahaha... They were all kinda old.. Not 
like the teenagers there who were there for Faye!  

At the end Faye came back out an sang some song with Wen Chang and the ppl who gave her flowers and things on stage came out and they sang some 
song... and then all this CONFETTI came down! it was so pretty to see Faye 
on stage waving with all this confetti falling on everyone! I took some 
pics of that also, so no worries! However when she had her big bouquet of 
flowers and waved bye and went off stage she was smiling a lot, and she 
waved.. I wanted to take some pics but I loaded another roll (#4 haha) and 
it took so long to load that when I looked up Faye went off stage! Oh well 
I got most of it anyways hehe.. So that was the concert.. Faye sings 
soooooooo well LIVE! If you ever get the chance to see her, GO!!  

Donald's Concert Experience
(Taken from Faye Wong Mailing List)

Hi! I'm the "Oklahoma Guy" in your description :-) This was my 
first Faye-xperience and I had a great time. It was nice to meet 
everybody and put some faces to the names I've seen all these 
months. One of the wonderful memories HAS to be Irene asking 
for our attention in the pre-concert meeting with this: "My beloved 
Fayenatics ..."  

  I think the stuff we signed really did make it back to Faye. Before 
the concert got started, I saw the security guys carrying the big  
yellow card and the volleyball backstage and they passed it off to 
someone there.  

  Now, I told everybody before that Wen Chang wasn't THAT bad. 
They could have chosen a better warm-up act, but I thought he did 
ok -- except for that "Titantic" mistake. Listening to his rendition of 
the song made me realize (even more so) just how talented Celine Dion really is. When he asked the crowd how many people were 
from Taiwan, the mainlanders sitting behind me gasped. They were offended because he didn't even ask how many of them were there.  Hmmmph! What do you think the odds were of him asking how many people were there from Oklahoma? He did "his" song and then did a bunch of ... others. Was it really THAT bad? Oh! Did I forget to say that Wen Chang was from Taiwan? 

Faye was great ... even if only for ten songs.