no, it's not that far from the lrt station.

as you take the escalators up and out the station, just turn right and go straight.

you'll pass a car dealership, then cross a road with two zebra crossings or just jay walk through it.

after crossing the road, turn right and walk against traffic direction until you reach the first junction, and your left should be CAP Square.

just cut through it and menara multi purpose should be right there.