Yes, this is the correct address for those death records if you want to get it from the state. I've heard that response time is very slow, several months, but I heard that a while ago and things may have improved.
These death records should be on file with the City of Albany too. See:
http://www.albanyny.gov/Government/Departments/VitalStatisti...They may respond more quickly as they claim to do so in 2 weeks.
Good Luck!
Mary Anne