Good day everyone,
   I am looking for the name of a movie in which the plot revolves
around a Russian who is a member of a Moscow symphony band is invited
with the rest of his group to perform in New York City. While going on
a shopping trip in macys, this russian decides to defect to the US.

Thank you and good luck.

Hi... I believe gennadiy-ga is right on the money.

"Moscow on the Hudson" was released in 1984.

Here's the plot synopsis from http://www.imdb.com :

> A Russian circus visits the US. A clown wants to defect, but doesn't
have
> the nerve. His saxophone playing friend however comes to the
decision to
> defect in the middle of Bloomingdales. He is befriended by the black
> security guard and falls in love with the Italian immigrant from
behind
> the perfume counter. We follow his life as he works his way through
the
> American dream and tries to find work as a musician. 

Robin Williams plays the musician, Vladimir Ivanoff.  His friend the
clown is played by Russian comedian, Yakov Smirnoff.  Maria Conchita
Alonso plays the love interest, and ths black security guard is played
by Cleavant Derricks.

Reference:

IMDB listing for "Moscow on the Hudson":
[ http://us.imdb.com/Credits?0087747 ]

I believe the movie is called "Moscow on Hudson". The main character
is played by Robin Williams