The County Jail is not a jail anymore, it closed in 1976. It's actually now a film museum, but this is the first filming location you see at the start of the movie. Inside the cellar itself, in the movie, you see Jake's cell. As the guard came in, and asked for everyone to get out for their lunch, Jake was hanging by his neck with a sing strapped to his chest. The guard read it, which said,
To whom it may concern,
do you really think I'm stupid enough to kill myself?
And that's when the movie starts.