Back in January 2002, Foo Fighters appeared on Letterman for one of their many performances on the late night show. Jack Black joined the band on vocal duties when they performed "The One" but Black also joined in for "My Hero" which was performed during a commercial break and was never aired. "The One" was included on the soundtrack for the movie Orange County, starring Black, which explains the tie-in.
Thanks to someone who ripped the video from the CBS website back in the day using RealPlayer, we now have the only remaining footage of the performance.