Woody Allen leads such a sheltered life that he'd never been to a shopping mall until he made the movie "Scenes from a Mall" with Bette Midler. Director Paul Mazursky says Allen, who doesn't leave Manhattan unless he absolutely has to, had never been to a mall before. "I took Woody to the mall (in Stamford, Conn., where parts of the movie were shot)," Mazursky told People magazine. "He said to me, as we stood there looking at the elevators and escalators going up and down, `What's this?' I said, `This is a mall, Woody.' Woody said, `What do you mean, this is a mall? I thought a mall was more like one of those flat places.' I said, `You mean like a fast-food place where you drive through?' He said, `Yeah.' I told him, 'No, Woody, this is a mall.' Then he started walking around shopping for toys for his kids. I think he got a kick out of it but I don't think he'll be back."