If by "downtown" you mean "in the City of Chicago" then there are a ton of places.

Chicagoland Game Dice Dojo
Maximum Distractions
Darktower Comics
Graham Crackers Comics
Brainstorm Comcs

And that's just the North side, there may be a place or two on the South Side.

And Oak Park, just outside the city limits, has Gaming Goat that plays twice a week.

I would like to thank eveyone for there responces. Gunna try one of the venues metioned on here this wednesday. Cant wait to start learning. Nice to see players helping other players thats how a game keeps growing. Hopefully soon i can help other players too

Have a blast!