The piece they're playing is Gymnopedie #1, Eric Satie. There are three Gymnopedies. I figured Windsock for a Satie fan; I think he posted the French crossdressers doing one of the Gnossiennes.
The Kenny G saxophone improv in the clip really sucked, but I don't think I've ever heard a version for anything but piano that didn't come across as second rate.

The frauleins in saris aspect was OK though.