On June 20 2006, Madonna’s first live album, I’m Going to Tell You a Secret, containing songs from the documentary of the same name, was released.
The two-disc set included a CD with 14 songs (including a previously unreleased Demo Rock Version of I Love New York), and a DVD with the documentary film.
The documentary provided a behind-the-scenes look at Madonna’s 2004 Re-Invention Tour. The documentary was directed by Jonas Åkerlund.
Today In Madonna History 
That was a happy moment and I gladly sang along with her! Holiday is a brilliant Madonna tune!
The choice of not include the majority of the real live songs in the “live” album, instead of interludes and playback was such a disappointment. I call it: self sabotage.
If Warner was smart they would’ve done the exact same thing with Truth or Dare and Blond Ambition World Tour by releasing it in the exact same format, but then would’ve been VHS /LaserDisc and CD. I would’ve bought it for sure. I hope she does another documentary with her next World Tour, as it’s interesting to see how she has grown as an artist.