The story of Our Lady of Sorrows:

This title given to the Blessed Virgin Mary stems primarily from two Biblical references:
The First was Simeon’s prediction in the temple that “a sword should pierce your soul” and
The second was her presence at the Cross as she watched her Son die a slow, agonizing death.
For a while there were two feasts in honor of the Sorrowful Mother: one going back to the 15th century, the other to the 17th century. Both were celebrated by the universal Church: one on the Friday before Palm Sunday, the other in September.
Now we only celebrate one of them: the Feast of Our Lady of Sorrows is celebrated on September 15.
Some shrines dedicated to Our Lady of Sorrows:
Slovakia

Sastin: Basilica of Our Lady of Sorrows
Spain
Prado Nuevo: Shrine of Our Lady of Sorrows
U.S.A.
Chicago: National Shrine of Our Lady of Sorrows
Starkenburg, Missouri: Shrine of Our Lady of Sorrows