The movie takes place in Chicago, except for one scene that is supposed to be in New York City (when Damien's uncle visits the priest). Two problems. First, as the cab pulls up to the church where the priest is, it goes past a housing project. Anyone who knows public housing construction in New York and Chicago knows that building is in Chicago. Second, when they go out to a trainyard, you can clearly see the Hancock Tower in the background. Of course, that building is in Chicago, not New York.
The winter scene was shot at Eagle River, Wisc. which is in the deep woods. When the Hollywood crew showed up, they brought along fake trees. Those trees were definitely not needed.