He doesn't respond to Lauren at all, no matter what she says. This is a job for Superman! -- er, for Joey, I mean.
And even Joey doesn't get anywhere just talking. Let's try something a little more physical.
He's really into his playing. What can Joey do to interrupt the music?
While you're directing Joey, left-click/use the ghost's saxophone to yank it out of his mouth.
This will only divert him for one or two questions, so choose ones that count.
If you first "question his presence" and then "ask some questions," the ghost will tell you where he thinks he is. That gives you a good starting point.
The ghost said he's on stage in a place called Johnny Ivory's. Go back to your apartment and look it up in the phone book to put it on the map.
What should I say to the pianist at Johnny Ivory's?