14 years ago, promoting Anchorman, Will Ferrell visited Conan back when Conan was on Late Night, and really kind of before DVRs took over. Few watched or recorded; it was weird and chaotic and almost devoid of rules.
So they did this. It’s long. Stay with it. Make time, but if you absolutely cannot wait, skip ahead to 9:40, and realize that this joke only comes after Ferrell has been playing it straight on the couch for nearly ten minutes.