It's by the The Psychedelic Furs, here:

http://www.youtube.com/watch?v=R_mOmI1KZ3k

The lyrics are cryptic:

there's an army
on the dancefloor
it's a fashion
with a gun my love
in a room
without a door
a kiss is not enough

in
love my way
it's a new road
i follow where
my mind goes

they'd put us
on a railroad
they'd dearly
make us pay
for laughing
in their faces
and making it our way
there's emptiness
[From: http://www.elyrics.net/read/p/psychedelic-furs-lyrics/love-my-way-lyrics.html]
behind their eyes
there's dust
in all their hearts
they just want to
steal us all
and take us all apart

but not in
love my way
it's a new road
i follow where
my mind goes

swallow all your tears my love
put on your new face
you can never win or lose
if you don't run the race