Hi there,
You have to get to the extras through the individual show menus. From the main menu, select any one of the individual shows on the disc and hit "enter." Then you will see a scene-selection menu for the show. On the right-hand side of this screen will be a choice marked "Muppet Extras." Choose this option, and it will take you to the special features. The special features menu is the same from any of the shows on the disc, so there's no need to do this more than once. Hope this helps!