You can pick up the light rail outside of the Mega Mall, but the train really doesn't go anywhere near williams arena. The traffic around Williams will be a nightmare. I've gotten in two fender benders infront of the place so becareful.
The train will take you downtown, but it takes a while then you'r best bet is to try and catch a cab. look into it more when you see a map. Just a heads up.
THe 5-8 club is straight up Cedar from the Mall. Trust me, no one has ever been disappointed.