This should run a little faster
SqlDataReader reader = DbInfo.DataRdr(Conn, "SELECT DISTINCT Events.Location FROM Events WHERE
NOT EXISTS( SELECT 1 FROM Location WHERE Code = Events.Location")
int colOrdinal = reader.GetOrdinal("Location");
while(reader.Read())
{
Logging.Write(SetLength(" ", 10) + reader.GetString(colOrdinal));
}