It was on channel four about 8 years ago. It was around the time of A Thousand Leaves. It was part of a series on 'living legends', possibly called 'channel four introduces...'. There was one on Neil Young and that sort of fair. Although, having said that, ATL was released a few years before. Regardless, I'm pretty sure I was about 19 at the time, so 8-ish years ago.
Interesting story, I posted on a message board to see if anyone had taped it, as I was down the pub the night it was on. A girl replied who I later 'did the thing' with, and she's one of my best mates to this day (and would probably be mortified if she knew I was saying this).