I saw them on this tour in June of 1998. I remember when they played Mechanix everyone in the crowd was singing the words to the Four Horsemen instead. It was pretty funny. Might explain why they don't do that song much anymore if that happened at other shows.
Here's the set from the show I went to. Got this off setlist.fm and from what I recall the set here is correct. Might be a bit out of order but all these songs were definitely played.
Holy Wars... The Punishment Due
In My Darkest Hour
I'll Get Even
A Secret Place
Guitar Solo (Marty Friedman)
A Tout Le Monde
Use the Man
Tornado of Souls
Symphony of Destruction
Drum & Bass Solo
Anarchy in the U.K.
Our area was struggling at the time when it came to smaller venues for metal bands to play at. I was too young in the late 80s and early 90s but there were some good venues around here for a bit at that time. For this show Megadeth played a place that was well under 1,000 capacity but they jammed as many people as possible into this small venue. If you wanted to play here at the time and weren't one of the big bands, The Funhouse in Lackawanna, NY was one of the only places you could go in the area. I'm sure they were in violation of the fire code that night. There's no way the venue was meant to hold that many people.
Great show though. I've seen Megadeth about six or seven times and this was the most intimate venue i've ever seen them do. The stage was just big enough for them to play and that was about it. Not that they move around a lot on stage but there wasn't any room to do that if they wanted to.