In this song, Springsteen plays the dangerous romantic trying to navigate New York City. This being the '70s, the city is filled with pimps, gamblers and tough guys, and Springsteen's character is trying to find his place.
As the album title suggests, Springsteen is very much a New Jersey guy, but he spent a lot of time in New York City when he was getting started, taking lots of road trips to perform and record (the album was actually done in Blauvelt, New York, about 25 miles north of Manhattan). With his observer view of New York City, he was able to craft different stories around the setting, which kept him from becoming a character in his own songs. Another track on the album, "Does This Bus Stop At 82nd Street?
," is also set in the City.