Those kind of shops usually have no physical location, with the exception of some street vendors in Silom area or Nana. You might be lucky if you ask some insiders into the Patpong night market. You can get poppers that way too.
One store is known: try the hidden closet by the BTS Phrom Phong Exit 5, third floor RR space.
Or order online using Line. They might send to your hotel by special delivery then you pay delivery guy using cash. Leave envelope with concierge if going out.
DVDs are old school now.
Of course if you want the best selection, visit Japan 😜