It was at Klein and Washington Streets but was demolished after the surrender. Here are two links:

http://battleofraymond.org/history/lum.htm

http://www.civilwaralbum.com/vicksburg/vicksburg_homes6.htm

My wife's ancestor was Erastus Lum who I believe was William Samuel Lum's uncle. There are still a few descendants down in Claiborne County.

Scott