The Bellevile show is held at the fair ground just south of downtown - just take the main drag through town, and follow your instincts.
In Illinois, you need an FOID if you are an Illinois resident to handle guns or ammo at the show. Missouri residents need to show a driver's license. Some dealers are extremely hostile if you touch anything on their table without showing an Id first, so be forewarned.
HKocher
In Missouri, the purchaser of a handgun must have a permit issued by the sheriff of the county where you reside. This includes private sales. Many handguns that are not burdened by a paperwork trail are traded and sold privately without a permit anyway - it's not legal, but it's fact. Each countie's sheriff pretty well sets his own rules for a waiting period for the permit, up to 7 days.
The seller of any firearm is probably wise to record the serial number of the gun and the name and address of the buyer - cover your tail.
I may try to go over - I want to pick up at least another brick of Aguila standard velocity .22 rimfire.
The Belleville show is okay; the Colinsville show is pretty good. There will be another show in Wentzville the weekend of 2 February, at the old Belz Mall. The first one, just after Christmas was also prety fair - no smoke, good lights, and new vendors to this area.