I shopped mostly music CD's and DVD's. Salem has many small and mid-sized malls in addition to very large The Mall at Rockingham Park. Salem has many small and mid-sized malls in addition to very large The Mall at Rockingham Park. . Shopping some stores on the Upper Level at the Mall at Rockingham Park, I came to FYE. From what we saw, we'd say that Rockingham. If you found this review. Shopping in the lower level corridor on the end of the Mall at Rockingham Park being redeveloped, I went to Josh's Toys & Games. If you found this review helpful, please click.