Some info on the buildings history from Wikipedia:
Built in 1937 as a Greyhound bus station (click HERE to see a photo of the building's original incarnation as the Greyhound Station circa 1960), The Depot, as it was called, was noted for its art deco style and amenities of air conditioning, shower rooms, and public telephones. The floor inside was a checkered terrazzo, while the sidewalk was made of shiny blue bricks with white trim.
The club got its start when the twenty-seven year old owners, Danny Stevens and Allan Fingerhut opened the doors for the very first time on April 3, 1970 to showcase a two set evening with Joe Cocker's Mad Dogs and Englishmen. In July of 1972, the venue was renamed Uncle Sam's and was part of a national franchise of the American Events Company. Along with Allan Fingerhut, Danny Stevens, Steve McClellan, Dan Lessard and Jack Meyers, the club's financial manager, took control in 1979, shortening the club's name to Sam's. With progressive rock making way for disco, the club name was changed to First Avenue on New Years Eve in 1981.
I asked Stephen for a quote concerning his memories of taking the photos, he had this to say in response to my question:
"I was visiting my father and went to Minneapolis and walked around while he was working. Just spent a couple days. In a way the photographs are really a continuation of the photographs that I took in the Seattle and Tacoma area, I was looking for real places with personality. What I took resonated with me visually. I was not really aware of the musical significance until later when I saw Purple Rain."