Madonna was making headlines in Russia before she even stepped on the stage.

The U.S. Embassy released a warning to all U.S. citizens attending the Material Girl's August 7 show in Moscow and her August 9 show in St. Petersburg after they received information regarding a 'threat of physical violence against spectators and performers,' according to Billboard.

In a statement released by the Embassy they assure concertgoers that Russian authorities are taking the threats seriously.

'While we expect that enhanced security measures will be in place at both concerts,' the statement says. 'U.S. citizens are reminded to remain vigilant regarding their personal security, and to be aware of their surroundings at all times, especially in crowded areas.'

At last night's show (August 7) in Moscow, which went on without a hitch, the 'Express Yourself' singer stood up for the Russian band, P**** Riot.

Three members of the feminist punk band were jailed five months ago after playing an illegal gig at the country's main Orthodox church where they sang a song with the lyrics, 'Mother of God, drive Putin away.' The performance took place before the presidential vote that brought Vladmir Putin back in power. The women are being charged with 'hooliganism' and could face up to seven years in jail.

Madonna, who had the band's name written on her back, told the crowd she had a 'few words to say' before taking out a folded sheet of paper. She said she was proud to be from a country where she was given the right to speak her mind, 'But my dream and my prayer, is that everyone in the world has this right. Not only here in Russia, but in France, in Iran, all over the world. As human beings we should have the right to express our opinions and still be treated as human beings.'

Madonna went on to say, she means no disrespect to the church or government, but she thinks the women, who she called courageous, have paid the price for their act.

'Let's hope one day we live in a world filled with freedom, peace and tolerance,' she told the crowd, before having them chant their support along with her.

Madonna is not the first to speak out on behalf of the band. The Red Hot Chili Peppers, Peter Gabriel and Sting have all petitioned for their safe release.