Paul McCartney made his first ever appearance on the Late Show with David Letterman Wednesday the 15th of July. He was a guest at the show and as such he did an interview with Dave, followed by a live appearance on the top of the Ed Sullivan Theater marquee. He did two songs that were broadcast in the show, starting with "Get Back" (if there ever was a rooftop song), and finishing with the recent "Sing The Changes". After that, Paul continued the concert for the fans on the street, and this portion was webcast on the CBS site. Songs include: "Coming Up," "Band on the Run," "Let Me Roll It," "Helter Skelter," and "Back in the USSR."
Here's most of the interview:
Here are the two songs from the TV show: Get Back & Sing The Changes
This is the webcast: Coming Up, Band on the Run, Let Me Roll It, Helter Skelter, Back in the USSR.
Here's a fan's video containing footage and audio of Paul waiting for his cue to start the concert while joking with the crowd, commenting about New York and leading sing-a-longs with the thousands who lined the streets.