These are the Canadian links, I don't know if they'll work in the US. If not, maybe someone can post the Comedy Central links.
The Interview: Watch The Colbert Report Videos Online | Late Night TV | Watch Colbert Report In Canada
The Televised Song: Watch The Colbert Report Videos Online | Late Night TV | Watch Colbert Report In Canada
The On-line Performance: The Colbert Report - Andrew Bird: Exclusive Performance