Not Madison County – Madison, Indiana. There seemed to be some confusion after reports surfaced stating that the Ku Klux Klan was going to hold a rally at the Madison County Government Center. It turns out that the rally will actually be held in the small southern Indiana town of Madison in Jefferson County. Anderson and Madison County officials say that there was nothing they could do to prevent a rally here because; every group has the right to peacefully assemble, regardless of their message.