Hello BillKal and welcome to Muppet Central. You know, I've got family round North Haven, I think, not exactly sure now.
Anyway, the characters featured in that sketch are Sergeant Thursday and Ben, Sergeant Thursday's Partner.
Ben was voiced by Jim in his normal speaking tone, and the W was voiced by Jim as well but with his gruffer streetwise tone.
You might want to ask Boober_Gorg, I think it's on one of the episodes I got from a deal with him.
Hope this helps and have fun exploring MC.