This story begins on a street in New York City. Bob is standing out in front of the place where his favorite restaurant used to be. The name of the restaurant was "Big Joe Brady's." It was torn down five years before the story starts. The time is 10 PM and the weather is not good. It is cold and windy and might be about to rain so there are very few people out on the streets.
Jimmy Wells can't bring himself to arrest Bob because they used to be such good friends.
The story I believe that you are talking about is the one "After Twenty Years" by O'Henry. It that takes place outside the doorway of a closed Hardware store. It is on a city block that houses business that close early hours. The wind is a little chilly. The location is New York and at one time the store had been a restaurant.
The policeman does not arrest his friend because it has been many years since they were good friends that set off on their separate journeys. There had been a genuine friendship and now it has been years and his friend has actually come back to meet him just as they had planned. However, the policeman has chosen the path of an honest hardworking man while the man Bob chose to make his fortune through the criminal path.
Although Jimmy knows that he has to arrest the man and do the right thing, he feels like it can not be him who has to embarrass his friend by being the one to arrest him.