The building they were probably referring to was 230 Park Ave. It sits across Park Ave immediately north of Grand Central and the Met Life (formerly Pan Am) building. This building housed the NYC's corporate offices and was called the New York Central Building (surprise). The railroad sold it sometime in the 1960's. The new owners changed the C to a G and the T to an E, and it became the New York General Building. (How's that for cheap?) The building was later purchased by Helmsley and received a major restoration in the 1980s.
Since I'm new to the list, I'd like to take this opportunity to introduce myself. I grew up and still live in the New York City area. I've always had a soft spot for Penn Central, since it was the main focus of my early train watching days and since I worked for them in Metropolitan Region's Engineering Dept. during the summers while I was in college. After graduation, I went back to the railroad and stayed with it through Conrail and Metro-North until the mid 90s. Now I try to live off of them as an engineering consultant.