I had to watch The Dark Knight Rises thrice to get the whole meaning of how everything adds up, but it still doesn't make sense to me how Catwoman knew where Bane was. Was Selina working with Bane, being threatened by him, or what was the reason that the entire city doesn't know where Bane is, but she magically does?
Selina knows because it's a trap, she is in league with Bane at this point.
From the script:
Batman picks off more and more Mercenaries. Screams echo...
Batman follows Catwoman through the dark tunnel.
CATWOMAN - Just a little further.
A grate slams down, separating them - the lights come on. He is deep inside.
INT. BANE’S LAIR, SEWERS - CONTINUOUS
Mercenaries look down on him from above. Catwoman turns.
CATWOMAN - I had to find a way to stop them trying to kill me.
BATMAN You’ve made a serious mistake.
The film's official novelisation makes the series of events a little clearer. Selina was in league with Bane and lured Batman to his lair.
A heavy steel grate slammed down between them, like a portcullis in a medieval fortress. Bright halogen lights flared overhead, exposing a lair hidden deep within the sewers. A small army of mercenaries glared down from various elevated gantries and platforms. The catwalk led between twin waterfalls that poured into a foaming channel one level below. There was some kind of headquarters located beyond the waterfalls—much like in the Batcave.
“Sorry,” Catwoman said from the other side of the grate. “I had to find a way to stop them trying to kill me.”
Batman realized then that she had deliberately lured him into a trap. He was disappointed by her betrayal.
“You’ve made a serious mistake,” he growled.