Former rock star Cheyenne (Sean Penn), now 50, is living in Dublin off the royalties of his success. Still looking every bit the Goth rocker he used to be, this monotonously speaking, almost catatonic middle-aged man spends his life in emptiness. He may have a loving wife (Frances McDormand) and a close friend in young Mary (Eve Hewson), but his circle of loved ones stops there, and his days consist of grocery shopping and playing pelote in his empty swimming pool. His father's death makes him return to the U.S. for the first time in 30 years. After the funeral he discovers that his father, an Auschwitz survivor, was obsessed with seeking revenge for the humiliation he suffered in the camp at the hands of a Nazi guard. Cheyenne decides to finish his father's mission, and goes on a road trip through the American heartland to find and confront the man whom his father had been looking for all his life.

While winning the Jury Prize at Cannes 2008 for Il Divo, director Paolo Sorrentino met jury head Sean Penn at the closing ceremony party, and Sorrentino got it into his head that he wanted to make a film with the chameleon actor. If only that meeting had not taken place. Then we would not be stuck with This Must Be the Place, certainly one of the festival's biggest disappointments. Not only is the life of the protagonist empty, so is the film. In itself, the idea of portraying the afterlife of a successful career, once all the 'friends' of the glory years have left, could be quite interesting, and indeed the film's first half hour works best. Sean Penn's Cheyenne, inspired by The Cure's Robert Smith, but also clearly channeling a better scripted Ozzy Osbourne, is floating between depression and boredom, and is occasionally very funny. This section of the film plays like a more dreary yet also more upbeat version of Sofia Coppola's recent Somewhere, which also deals with the emptiness and loneliness of stardom. After Cheyenne flies to New York to bury his father, though, the film takes a turn for the worse. Suddenly we are in familiar road-movie territory, and with that come the inevitable life lessons and characters spouting wisdom that you can frame and hang on your kitchen wall. By the time Cheyenne finally finds the man he is looking for, we are hoping he just shoots the guy (he certainly bought a good gun for it) and gets it over with. But alas, we get a supposedly cathartic scene of a wrinkled and naked Harry Dean Stanton (not a pretty sight, although the veteran is possibly best-in-show) walking through ankle-deep snow, an image that seems to be meant as a reflection of a Holocaust victim in the death camps. It is this kind of lay-it-on-thick mentality that drowns the film.

A further problem is Sean Penn. Never one to shy away from going over-the-top, the actor brings a whole barrage of mannerisms, tics, and eccentricities to his portrayal of Cheyenne, turning him into more of a caricature than a character. Given the film's themes, there could actually be something to that, but it soon becomes tiresome and is only effective when meant to be funny. His Cheyenne provides a memorable image, but sadly there is not much underneath the lipstick and nail polish. Then again, the character himself admits that the only thing he ever did was write songs for depressed kids, so maybe there is just no more to him.

The supporting cast is good, but unremarkable, with the aforementioned Harry Dean Stanton and single mother Kerry Condon as the standouts. Frances McDormand has been sadly relegated to the kind of role she plays here, and unfortunately she does not get the chance to show us why a rather normal woman would end up with a man like Cheyenne. Elsewhere, Judd Hirsch is hamming it up as a Nazi hunter, and newcomer Hewson shows promise.

Two aspects of the film that are above average: photography and score, the latter composed by Talking Heads frontman David Byrne (who also lends the title song, a former hit for the band), and inexplicably has a short role in the film which consists of nothing more than a live performance of his song and offering some sage advice. Sorrentino manages to capture the wide-open hinterland along the highways of the United States, beautifully framing the emptiness (there's that word again) of the land and the small towns that dot it. It is, however, not enough to save the film, which simply is not as smart and deep as it thinks it is.