The Egg, named for its shape, is a performing arts center in the Empire State Plaza. Known for its amazing acoustics, it holds two theatres along with a conference center and other goodies.
According to Flans during the show, the song took "minutes to organize". Dan Miller confirms this in the download notes, "He debuts his demo during souncheck, which, he claims, was written and recorded during his car ride to the gig. How the acoustic part got recorded while cruising at 70mph during the Atlantis creating rain is yet another of Flans' remarkable skills."
From TMBG.com: "The Egg was built as part of Nelson Rockefeller's dream to reinvent Albany as New York's state capital. It was designed by Wallace Harrison and contains virtually no straight lines or corners. Construction began in 1966 and finished in 1978. The Egg's performance center continues to flourish and is They Might Be Giants' home away from home, in Albany. The friendly Egg is nestled among Albany's state buildings, which are perhaps the harshest example of modernist brutalism on permanent display. Former residents of Albany have described the song as capturing the essential Albany-residential (or Albanian) experience."