Studio is a place, where you can shot adult movies. If you speak with Jake at the Strip Bar and you give him $150, he will rent studio for that purpose. You can get to the studio by talking with specific character (Charlotte, or Lila) about shooting a movie. This cause you, selected actress and Jake to automatically travel to the studio, where you can start with shooting. After finishing the scene, you can remain there to continue with next scene, or leave. If you leave, all other characters in the studio will leave too.