The Fillmore was a bar that had live rock bands in the early 80's. It later became the Mississippi Queen. It was in a large building West of Duff and North of Hwy 30, kind of behind where Old Chicago is now. It had a large stage and multi-level seating where 400 people could watch a band.
Sorry, I'm a little late in replying, but, yes, I'm told I was there, and also that they weren't real good at the show. Their "hit" at the time from their debut album was "I Will Follow", &, interestingly, I read that they have performed this song at every concert since. Also, I do remember seeing Billy Squire there later, I believe after the name was changed to Mississippi Queen. Here's the U2 setlist for the '81 show http://www.u2gigs.com/show258.html