New Orleans: You know
It’s a place where Bob would
Prefer you don’t go.
The old blues song that everyone and their brother has done. Most of us know the version by Them featuring our young and pugnacious misanthropic friend Van Morrison on vocals. Bob's versions, two of them, appear on "The 50th Anniversary Collection" copyright extension album. It's rough, and Dylan's voice sounds more affected than authentic, but it's fun to listen to him try to growl like a grizzled blues singer.
As for the lyrics, the song generally concerns a prisoner who hopes that his lover won't leave him and go back to New Orleans before he gets out. In Dylan's performance, he's on the Parchman Farm, otherwise known as the Mississippi State Penitentiary in Parchman, Mississippi.
Here is Big Joe Williams doing the song. He popularized it in a 1935 recording.