A couple of years ago I found an interview with David Lynch on Youtube. The interview is done by a, honestly, quite clueless interviewer. However, Lynch really goes a 100% on trying to explain stuff for the interviewer and it turns into one of the best descriptions of abstract cinema and it's process that I've ever heard. I would love to find this again, but I'm having great trouble.
If I remember correctly:
It's done by a Japanese interviewer.
The interview is about Mulholland Drive, most likely done around its release.
The interviewer spends a lot of time trying to get Lynch to explain parts of the movie. Specific scenes, the plots etc. Lynch just keeps trying to explain that there's no true answer to those questions.
I did find some info that indicates it might have been included as an extra on one of the early releases of Mulholland, but haven't been able to verify.