I bought it in a (cough) what I suspect was a sort of boot-leg store (there were even boot leg kiosks) on one of the occasions I was monitoring/supervising elections in Bosnia in 1997.
Even at the time I could see that it was - ironical, perverse, bizarre, paradoxical - that we were doing democratisation, rule of law, elections - while yet buying bootleg CDs; the locals pointed out that their economy had been destroyed by war and that any economic activity (from us) was more than welcome.
However I still remember exactly where I bought that CD, in a small, dingy room, up a back stairs to the sort of small, stuffed, CD store I knew from my student days, and how delighted I was to lay hands on this CD.
And the REM (CD albums) I was listening to earlier this evening - thanks to
@Apple fanboy - were purchased in Kosovo, -in a proper music store, a few years after that, when I was supervising elections in that country.