I assume that you are talking about the time that Holden goes to the show at Radio City in Chapter 18. He also mentions shows at Radio City towards the end of Chapter 10 -- at that point he talks about how he hates them and it depresses him to think of the three women from Seattle getting all excited to go to one.
But he actually goes to the show himself in Chapter 18. He hates that one too. When the Rockettes are on, the man behind Holden annoys him with what he says to his wife. When the man roller skating and telling jokes comes on he annoys Holden because Holden pictures him practicing his act. Holden feels cynical about the Christmas display that comes next.
Basically, as happens so often in this book, Holden thinks it is all phony.
In chapter 1 of The Catcher in the Rye, we know that Holden hates the movies, and he resents his brother D.B. for giving up on being a writer of short stories to be a screenwriter in Hollywood:
Now he's out in Hollywood, D.B., being a prostitute. If there's one thing I hate, it's the movies. Don't even mention them to me.
In chapter 18, at Radio City, Holden goes alone to see an English war film that he says almost makes him puke but reminds him of his brother's war experiences. Salinger devotes two pages to its plot summary (138-139) and later devotes another two pages to Phoebe's recounting of The Doctor (162-3). In chapter 16, Holden even shows contempt for stage plays, although "[t]hey're not as bad as movies," and actors in general, saying "They never act like people. They just think they do" (117). As examples, he mentions Laurence Olivier's Hamlet and the Lunts' I Know my Love [Alfred Lunt and Joan Fontanne, the famous Broadway couple]. All in all, Holden mentions five movies specifically (three by name) and refers to at least six actors by name, two of which (Raimu and Donat) are relative unknowns, such is his knowledge of the movie industry.
Holden condones movie-going when there's nothing else to do, but he can't understand why people, en masse and in Sunday best, want to go to the movies, such is his loathing of pop-culture conformity.