Update: Looks like the BBC or Universal had them removed.
The history of this show being released is a bit convoluted. It was supposed to come out in 2003 as part of the Rock Masters series, but was blocked by the BBC and/or The Cure. Then it was listed for release almost every year after that, but again, never released. It seems to have come out last year, but I have no idea if it's a legitimate release or a bootleg. Mix Up in Mexico has it. Ideal Copy had a few copies but sold out. You can get on their waiting list, however, and reserve a copy. While you wait, someone has posted it to YouTube. If it's a legit release, it shouldn't be up there, and I wouldn't be linking to it. But until I know for sure, here you go: Shake Dog Shake / Primary / The Walk / The Hanging Garden / One Hundred Years / Give Me It / A Forest / Piggy In The Mirror / Happy The Man / Play For Today / The Caterpillar / 10:15 Saturday Night / Killing An Arab.
(Thanks Mad Bob, Alastair, Pietro, and Heron)