ahhh i remember seeing an ad for this in a magazine back in 2003... i was 13 :) i begged my parents for the DVD just because i only wanted the audio CD XD (the ad even said, four new tracks!! didn't say that three were covers though :P)
about 6 years ago (yes, I was proud to be a fan and TBDT was far away) i got this DVD, I didn't even watched it, as soon as I noticed it didn't include the music CD I returned it to the store, the guy at the store gave me another one that didn't include the CD either so after some googling he found out that there is, indeed a music CD but for some unknown reason the DVDs they got didn't come with it so he gave me my money back and reduced the DVD price to future customers.
yes it is, it's a Live Album, and about the setlist, it's the setlist from the show on the DVD, and yes there is a CD with 3 awesome covers and two other songs from a another show and an Why as B-Side. so there you go, your wtf is answerd