The exterior of the real Centanni's store, in Kearny, NJ, can be seen in the pilot; thereafter, during filming season, Chase and co. dressed the outside up and made it Satriale's.
The building was pulled down quite recently, within the last two years. This is the site a site looks now (or how it looked in August):
Both stories above are right. The building was abandoned, but they made a set for interiors, much like they did for Melfi's office and the Soprano home.