Mighty wind is such a great movie. Above is my favorite song from the album. I watched it late Sat night and was singing along the whole time. The trivia behind it is awesome (IMDB trivia link).
These movies by Christopher Guest are ad libbed. The cast is given a profile of their character to study and use to creat the magic. For their scenes they are told what is happening and they just go with it. They are actually playing the instruments and the concert at the end was actually a concert and filmed live. If you have the DVD you can watch the concert just like it would of appeared on TV.