Chelsea Lately is filmed at the Digital Center in LA it's on Olympic Boulevard. Taping is done during the day so you should make sure you're in the area during the day you wish to attend.
You can go to www.eonline.com/shows/chelsea/index.jsp. Click on "see Chelsea live", then click on "show tix". You will then be redirected to a pop up with the next 8-10 film dates.
Pick a date most feasible to your schedule. You will find that shows for Chelsea Lately fill up quickly, so plan ahead. If all the shows listed are full, you will be prompted to fill out a form with your contact information so that the staff of Chelsea Lately can contact you when tickets for upcoming shows are available.