Of course this was all filmed, and it aired tonight on HBO.
It was surprisingly sentimental, as the whole point was to raise money (one million dollars, to be exact), for his good friend's charity, Cancer for College. This money will go to scholarships for those who have been diagnosed with cancer, so that they can have a future.
The program was entertaining to watch, and Ferrell just being himself is funny and charming, and something you can't help but enjoy watching.
He was also surprisingly not terrible playing on the major league level (especially for a 47-year-old). If you have 50 minutes to spare and have HBO, I highly recommend checking it out.