if you're talking about the room where you can change outfits, that'd be the bathroom inside of the safe house. once you open the door, you'll see the stall straight ahead. look to the left, and you'll see some lockers. Go there to change. This had me scratching my head for ages. I didn't even know there was a place to change. I thought changing was going to the stores to get new clothes.

I think the room you're thinking of in the beginning is the locker room in the arena. You can go back there if you like, though I don't know why you'd want to. The path to that room is between the paths to the zombie pit and the south plaza (go inside the arena building first then check your map, you'll see what i mean).