If this is your first time to NY/NYC area - I highly recommend NOT flying into LGA. Fly into JFK. It's much easier to get into Manhattan from JFK than LGA, assuming you're staying in/around Times Square for that show.
When you land at JFK, no matter what airline you're on, you'll grab your bags and look for signs for the AirTrain. The AirTrain was recently installed and it's literally a train that goes around JFK stopping at every terminal, ending at either Howard Beach or Jamaica. You'll want to hop on the train that will be stopping at Jamaica station, which will allow you to hop on the LIRR right into Penn Station (33rd Street).
The AirTrain is a $5 trip, and then you would buy a one-way ticket from Jamaica Station to Penn, which IIRC is like ~$9 (assuming off-peak hours). That will bring you right into Penn, 32/33 Street. Once you're there ... the tourist in you may come out or may not. There's not much to see, but when you get up to street level you'll immediately see "World's Most Famous Arena" in Madison Square Garden. You'll be right in the heart of NYC, so you may opt for walking from Penn to Times Square area (~10 blocks) depending on the weather of course. If you've got the thin, southern blood and can't handle the deep freeze, you could take the 1/2/3/N/Q/R from Penn up to TS. I'd recommend the walk though, you'll definitely want to see as much as possible.
Let me know if you have any questions and I can try to help....