It was the 26th appearance for the actor.
Murray made a grand entrance in a white vintage Rolls-Royce. He wore a flamboyant cape, carried a white toy poodle, and donned Liberace's signature hairstyle. He was escorted out of the vehicle by a young, blonde man wearing a gold and white chauffeur uniform.
"Wow. Delightful...I didn't know you had a dog," Letterman commented.
"I had to get something that went with this outfit," Murray responded.
Murray unearthed a time capsule - using a pickaxe and jackhammer - as part of the festivities.
In related news, HBO's Liberace miniseries "Behind The Candelabra" has received Emmy nominations for "Outstanding Miniseries or Movie" and "Outstanding Lead Actor In A Miniseries or Movie" (Matt Damon and Michael Douglas)