Try and stay at the Travel Lodge in Windsor. It is a short walk to the Casino, and is only like 85 bucks for the night. The parking there sucks, so park in the Casino parking garage and walk to the hotel. Right behind the Travel Lodge is one of the best bars ever called Ryan O'Malleys...definently check that place out!
DO NOT GO TO CHEETA'S. It is a serious waste of time. Way to packed, and you will wait an hour for a seat. If you want to go to a strip club, I would suggest Leopards. Any cabby will know how to get there, and they do not charge a cover. The girls are very attractive, and you will have a good time
The casino is awsome. If you have the cash, they now have a poker room (hold 'em), but the tables are 3-5 dollars if I remember correctly. I would stay at either the black jack tables or roulette.
A little word to the wise; make sure your gas tank has enough to get you there and back. Filling up in Canada last year cost me 40 bucks...it was like 2.50 for a liter of gas!
Good luck
-Marc