The Wendy's that is being talked about here no longer exists. It was at the southeast corner of East 9th & High St (1510 N High St) which is immediately South of the building that houses the Ugly Tuna. The area has since been redeveloped into a 5 story mixed use building (look for the Popeye's on Google Street View). At the time this was a standalone Wendy's surrounded by a parking lot, and it was sort of known as the start of the "not so nice area" south of the Gateway and north of the Short North neighborhood.
You can see the old Wendy's sign on the right side of this aerial view. The building immediately to the North (upper right corner of this pic) is the building that housed Ugly Tuna, which makes me think there may have been a construction exit that went SOUTH instead of the one to the east that exits into the plaza (where Jimmy John's is now) that everybody keeps talking about.
https://www.yelp.com/biz/wendys-columbus-32
EDIT: Another thing I remember from that time, that rang a bell when someone quoted Det. Hurst in the podcast saying "they were puttin' in a health store in the lower area in behind the restaurants and the downstairs businesses was completely dug up." The area he is probably talking about was the Sunflower Market (a Whole Foods/Trader Joe's type place) which was on the 1st floor of the Ugly Tuna building, directly SOUTH of the Ugly Tuna. It was at the NE corner of 9th & High (immediately north of that Wendy's).
The Sunflower Market
opened on September 13, 2006, which puts it under construction on 4/1/2006.