The video was directed by James Foley, who worked with Madonna in her music video for "Live to Tell", produced by David Naylor and Sharon Oreck, and Michael Ballhaus was in charge of the photography. The video was shot on location over three days in Staten Island, New York and Manhattan. Staten Island was chosen on Foley's suggestion as it was where he grew up: "We talked about wanting to tap into a working-class environment, because by that time she had done 'Material Girl' and 'Like a Virgin' and other stuff that was very glamorous and stylized. She wanted to do something a bit more grounded and 'drama'." Actor Alex McArthur was signed to play Madonna's boyfriend and the father of her child in the video. Madonna had spotted McArthur in a small role as a naive youth in the 1985 film "Desert Hearts", and she thought he was a natural to play her mechanic boyfriend. "I was out in the garage working on my Harley," said McArthur, "I answered the phone and a voice said, 'Hi, this is Madonna. I would like you to be in my next video.'"