To receive insurance for the shoot, Robert Altman had to hire Paul Thomas Anderson. He was a "backup" director who could take over if Altman could not work, The movie had the working title "The Last Show". Principal photography started on June 29, 2005, at the Fitzgerald Theater in St. Paul, Minnesota. That is where the radio show is broadcast from. Filming ended on July 28, 2005. The movie was the second major picture to be filmed in Minnesota in 2005. (The first was "North Country", starring Charlize Theron and Harrelson,)