Two days ago I was in Iceland wondering why I was not in New York. That's where I should have been after taking off from Heathrow earlier in the day. Joanna Lumley may have been treated to a sight of the northern lights but, for me, Iceland is a flat tan landscape resembling limbo. You may think you don't know what limbo looks like, but when you're in it, trust me, you'll know.

Sigh of relief. By midnight and 14 hours after take-off from Heathrow, I am in New York. The taxi driver swears he hasn't been paid. Our producers, in contact with us by mobile, swear he has. Mr Driver prefers cash and looks dangerous enough to insist. We pull over in the black heart of downer-than-downtown Manhattan and my wife plunders an ATM machine with a British credit card.

On to the residence reserved for us on Bleecker Street in Greenwich Village. The doorman is missing and so is the key to our flat. A huge sign reads “No entry until 7am”. Roused by our whimpers of terror, a kindly nightwatchman manages to break us into our abode by 2am. Thank God for people who are willing to overlook regulations. New Yorkers, I notice, do not give a toss for regulations. “We're New Yorkers,” they repeat by way of explanation: conveying self-reliance, competence under duress and a pregnant wink inadequately designed to reassure.

Our Bleecker Street digs, once we're in, prove to be a perfect pad for hardcore jazz aficionados, youth hostellers and all-night wanderers. As someone who's in town for the next 50 days to direct an off-Broadway play, these categories do not apply to me, but the game is afoot. Life imitating art.

What game, you ask? Mindgame, to be precise. A play in which nothing is as it seems. Strains of violence, intrigue, questionable identity, serial killers and sexually loaded psychodrama stretch the imagination to breaking point or breakthrough point: your choice and your ride.

Some time ago I was approached by the talented American actor Lee Godart to direct the play, by the British author Anthony Horowitz, whose TV series Foyle's War and whose Alex Rider books are international hits. Mindgame is a psychological drama set in a madhouse. Alone in my room, reading the script that Godart had mailed me, by the end of Act I I was ready for a large scotch. By the last page, I had finished the bottle. Yes, it was honestly the scariest script I had ever read. Now, with cast, crew and opening date next month firmly in place, here I am in New York to begin rehearsals.

The play stars the Oscar-winner Keith Carradine (Robert Altman's favourite actor), along with the aforementioned Lee Godart (Copenhagen) and Kathleen McNenny (The Constant Wife). Good cast, good crew, good vibes. Beowulf Boritt is the production designer; Elise Russell is the assistant director. The smart little off-Broadway venue is the SoHo Theatre - cool, hip and avant-garde, run by Darren Lee Cole, a protégé of John Housman of Mercury and Group Theatre fame (Orson Welles's artistic partner). Producing with Darren are Monica Tidwell and Michael Butler (Hair).

The first thing I mention to the assembled cast and crew at our initial “meet and greet” is that I have never directed a play in my life. A shocked silence follows, until I confide that I've directed a dozen or so grand operas, from Madame Butterfly to Gounod's Faust - which mollifies them somewhat. Until I go on to mention that I changed Puccini's tender geisha girl into a Tokyo tart and Gounod's gentle heroine Marguerite into a mother drowning her baby in the washing machine. Isn't everything a question of interpretation? (Now they're really alarmed.)

I also point out that the main advantage I've found in directing a play as opposed to a film is that in the former you can go from start to finish every time in rehearsals. This allows the characters to develop naturally and in the moment, as one dramatic incident following another pushes them to grow organically. Films, for logistical reasons, are generally shot completely out of sequence - very tough on the actors.

So about 20 of us sit around the stage introducing our names and our functions. Seems rather a lot for what is primarily a three-hander, but with essentials such as production, costume, sound and lighting designers, stage manager, stunt co-ordinator and understudies, the numbers soon add up. Coffee and bagels behind us (I will spend my first nights scouring all-night delis for proper tea), we set off home to our cosy, noisy little street.

Rock bands, nightclubs, all-night jazz, shouts, bragging matches, fights, girls screaming they want to “dance, dance, dance”, gale-force winds whistling around the block, refuse lorries collecting rubbish at three in the morning, a trumpeter practising scales and an insomniac neighbour on the wooden floor above, pacing up and down in stilettos. I “heart” New York.

Out to look for breakfast the next morning but despite open doors at every café, by 9am there's still nothing available but stacks of empty chairs and dirty tables. New Yorkers don't do breakfast - they're still doing last night. In desperation, we finally end up eating a tasteless burrito full of cold egg and a spoonful of rancid salsa. Get back to the apartment to find the loo blocked and floor flooded. No plumber nor plunger available in the entire building. Try bending coat hangers; no good. Elise goes out looking for a hardware store. Comes back with a panoply of futuristic appliances out of Blade Runner, including a plastic saw. The composer David Massengill, a friend of mine, drops by to decompose decades of disgusting, grey, hairy gunge from infected pipes.

What's all this got to do with directing a play? You tell me, mate. As it is, I can hardly hear myself speak - it's like War of the Worlds Part 3 outside my window. But don't worry, the first day of serious rehearsal is about to start at last. We hustle the three blocks to the theatre, to find that the actors are in the bar being photographed for publicity stills. I'm told that they will be “at least another ten minutes”. Elise tells them they'd better revise their schedule fast.

Less than a minute later, the actors are all on stage with their scripts, ready and eager to rehearse. The director has arrived. He flicks his riding crop across his jodhpurs and shouts: “Action.”

Mindgame previews at the SoHo Theatre, 15 Vandam Street, New York, from Oct 28 and opens on Nov 9 (001 212-691 1555; www.sohoplayhouse.com)

Editor's choice

• Guns N’Roses: Chinese Democracy
• The 50 Biggest Movies of 2009
• Quantum of Solace