Continuity mistake: While Kelly is being interrogated in the interview room by Nick, her hair changes between shots. Close-up it hangs loose. In the wide shots both sides are tucked behind her ears.
Audio problem: Warrick is examining the garage for evidence and sees a stack of crates of soda, he sees one has a bullet hole in it. He picks it up and shakes it, it rattles, demonstrating the bullet is still in the can. He pops the ring to open it and it hisses, despite the fact that the bullet hole in the side would have let the pressure out. They clearly used an unopened can to film the scene.
Answer: The episode on CSI:NY was called "Love Runs Cold" and first aired on October 4, 2006 (Season 3, Episode 3) and involves the investigation of a model found stabbed to death by an ice dagger.
OneHappyHusky