It was called "I Can't Believe I'm Hosting SNL" with Kermit, Piggy, Fozzie, Gonzo, Scooter and Rowlf singing along, and they try to hijack the song, instead singing how the Muppets are hosting the show. When Segel calls them out on it, the group gets a bit upset, and Scooter says, "With all due respect Jason, we Muppets have been around SNL since the very beginning!" So as you'd guess, they all finish out the set together, and there was a quick Statler and Waldorf moment (which was obviously recorded earlier in the evening) making a joke about the poor quality of the show.
My favorite line? Segel: "You guys probably weren't picked to host because you guys never wear pants!" Rowlf: "Alright, that's below the belt!"