Yes, it is hard to find - it is kind of secluded in a strip mall with no glowing neon signs; however, it is worth the short Taxi ride (about $30 round trip from the strip). Walking would be about 2 miles from the Rio (which wouldn't be bad at all).
The food was simply awesome - a culinary delight! My wife and I love to try international food and this was our first Russian experience. I highly suggest the Borsch and Golubtsy!
They hope to have alcohol in the next 6 months, but in the meantime, it is BYOB. The service was a bit slow, but the staff was very pleasant. They seemed surprised to see tourists since the restaurant seems to cater more to locals.