For the star-studded number, Prince played "A Love Bizarre." While director /*Spike Lee*/ played the tambourine, /*Alicia Keys*/, Professor Cornel West, Tavis Smiley and others danced onstage with Prince and Sheila E.
Prince also referenced his recent surprise appearance on ABC's "/*The View*/," when a shocked Sheppard was left swooning. Prince pretended to bolt from the stage when Sheppard's name was mentioned.
Prince then said to Sheppard, "Come on, Sherri. Dance with me, please. I wanna see what you really do."
Prince has two more dates left at Madison Square Garden - one later in December and another in January.
The Associated Press contributed to this report