It is located in an old bowling alley, which was purchased with funds from George R.R. Martin, Santa Fe resident and author of the books upon which my beloved Game of Thrones is based.
The exhibit is called "The House of Eternal Return," and it is a complicated narrative that starts out in an abandoned house and leads through...well, all of this (and MUCH more!). Here is a good overview of the exhibition.
Unfortunately, I didn't start at the beginning, so I was a bit confused about what I was seeing. And it was VERY VERY crowded, which made it less enjoyable than it might have been.
Still, very cool and quite unusual--very happy I went!
An exhausting but wonderful day in New Mexico!