I'd have to check my video list to be sure, but I think they played "This Ain't A Love Song" and part of "Someday I'll Be Saturday Night". During "...Saturday Night" Little Steven joined them on stage. I can't remember if there was much of an interview, I think just small talk between David Letterman and Jon, but I do recall David taking his entire audience out of the studio and onto the street to watch the live performance.