An 1887 business directory sets the Music Hall's location at the corner of Main and N. Day Street. Subsequent names for the hall are 1908 - Orange Theatre and 1920 - Bijou Theatre both with the address of 243 Main Street. The Music Hall was designed and built in 1880 by architecture firm Silliman & Farnsworth (picture and source attached).
Also a search within the free google e-book: The Founders and Builders of the Oranges: Comprising a History of the Outlying District of Newark, Subsequently Known as Orange, and of the Later Internal Divisions, Viz.: South Orange, West Orange, and East Orange, 1666-1896 by Henry Whittemore has a section about the building of the Music Hall.