Are the concert tickets together or do you each have separate tickets to the same event? If you really enjoy the band then you should go.
Best if you can find someone else to hang with at the show. Sit away from your W. If she says anything to you then you acknowledge, be pleasant, but end the convo quickly and return your attention to your friend.
If the seats are together and you think you can control yourself then go. Again, be pleasant but not overly friendly. It is NOT a date. You are there to enjoy the music and nothing more. If you cannot control your pursuing impulses then sell the ticket and use the money to do some other fun, GAL activity.
If you love somebody, set them free. http://tinyurl.com/2empx2g
