Most of the city scenes are set in Chicago, IL, USA. However, if you watch the street signs you will see 'One Way' and 'Do Not Enter' signs without words on them, which are typical for Canadian cities (due to bilingualism laws worded signs would have to be in English and French). Also, speed limit signs can be seen posted in kilometers/hour instead of miles.
Throughout the series, Fraser is shown standing outside an ornate building described as the Canadian Consulate. In fact, the Chicago branch of the Consulate General of Canada is located on the 24th floor of the Prudential Building, which is a glass and steel building without the ornate entrance portrayed.