Need help creating advanced Navigation.

Hello People! Simply put I need help to create an advanced navigation system. Here's my case, I'm working on a Events site, that has at its heart events & venues that people log on to post new events and venues, search events by type and venue, rate the events & venues, send invitations to the users to come to events,etc, the whole nine. I know this might seem a very big project but with Drupal it is as easy as installing the right module and making them work together, so TWO THUMBS for Dru!
Anyways the problem I faced is with the navigation. I want to enable users to search for Events by types and by Venue. I used the taxonomy module to create several event type and have associated them with the events, I also used the taxonomy_menu module to provide menus for each event type and this works very well (it even provides the hierarchy list of links). Now I created an content type called Venue using CCK, I have also extended the Event type to refer to venues using the Node Reference module, all this works just fine. The Venue type includes the address field, and I believe the address field has a connection with the Locations module. Now what I want to do is after listing all the events in their respective categories,I want to also list the cities in which these events are held. Now the cities are store in the Venues using the address field as I have mentioned above, I tried to make a view block that lists all the Cities using a List view type and having a Field Location: City and Filter Node:Type >>is one of >>Venue but to my surprise nothing is comes up when I enable the block. I have created sample vents and sample venues but nothing seems to show, I really don't know why the location module is not providing the Cities.

Thanks a lot for your patience in reading this.