This song is about New York City (and ultimately, modern Western society) life. And how people survive within it.
The first part concentrates upon the seductions inherent within New York's walls, the glitter and glamour, with a suggestion of what it takes to survive: don't get cute, it's mad, only show confidence.
The second part seems to falls into typical Springsteen mode (gotta love it): using a means of transport (moving on)- this time it's a train- to seduce a lady away from her inherently vacuous, materialistic existence. Of course, he dosn't succeed, because she is too ambitious.
The last part goes back to music, also suggesting correlations between materialism and deep blues. The junk man- singing, all dressed up in satin- makes a living out of selling things that others throw out.