So I did a little research on the location of the Planet Express building. From what I can tell it looks like it is either on the East River side of Manhattan where there is currently a parking lot or the Hudson River side of the island were some docks and freight yards are currently, depending on which viewing of the show you are watching and whether it is before or after the crew reverse the direction of the Earth’s orbit.
One of the strong indicators is when, I cant remember the name of the episode, but the Robot Mafia robs the Binks armored car service they ditch the money in Zoidberg’s dumpster in “That alley over there off 32nd street.” The same episode does not however; have a sun rise or sun set to give bearings as to which side of the island the alley off of 32nd street is on. East for sunset or West for sunrise as the episode takes place after “That darn Katz”