Late Show with David Letterman Season 11 Episode 38 Will Ferrell, Jack McKeon, Lyle Lovett 2003
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During Mailbag, Steph/Monty dresses up a police officer, while Dave tries to make some sense out of "Liza Minnelli" (Gerard in fishnet stockings). Later, it is revealed that the winner of the "Guess the Name of Dave's Baby Contest" is Dave himself.