When I entered the luxurious suite at the Lowell Hotel, the women were setting up. There were one or two assistants, a publicist, and Sophie Calle, one of the best-known French artists of her generation, dressed in a blue and green smock over a tight black shirt, black tights, and flats. She was shaking out rice from a box onto and around a wedding cake, which was centered on a coffee table in the middle of the sitting room. In two hours, select guests and press would be invited in to see this, her latest piece, the commissioned Room, a weekend-long installation that was part of a contemporary-art festival hosted by the Alliance Française in Manhattan.

Calle has been exhibiting, in her home of Paris and internationally, since the early 1980s. Of her work, Roberta Smith wrote in the New York Times, “She makes her art by invading the lives of others, with or without their consent, recording their thoughts, shadowing their movements or examining their belongings. Her main tools are the camera and the notebook.” Some of her most celebrated pieces include Room with a View (2002), for which she took up residency in a bed at the top of the Eiffel Tower one night and invited people to come read her bedtime stories, and the early, controversial Address Book (1983). After finding a stranger’s address book in the street, she called the numbers written inside and interviewed the stranger’s contacts about him, building an imaginary profile of the man, which she published, in twenty-eight installments, in a French daily paper. The owner of the address book threatened to sue. She is also known for her birthday parties: for years, she invited the same number of guests as her age, plus one “mystery guest,” who was invited by one of her guests. Each attendee brought a present that she would display for an entire year in a glass-fronted cabinet in her home. She stopped having the parties after thirteen years. The gifts were exhibited as The Birthday Ceremony (1998) at the Tate.

I circled the sitting room, bedroom, and bathroom, taking in the exhibit as the preparations continued. Sophie Calle asked me several times, “Have you looked around the rooms?” After many assurances, we at last sat down. She had chosen for us two elegant, cushioned chairs against the wall, close to each other yet separated by a tiny, high table. On the table was a large cup and saucer, the cup stained with dried coffee. Beside the cup was a small white board printed with a paragraph of text, situating the cup in the life (real or fictional)...