They say every Cat Power fan has a concert story... I saw her play this song in St. Louis in 2003 during her first set. Then the second set went as follows: -staggered on stage drunk -played the start of a song before changing her mind (3 times) -people started talking over her while she was noodling around on the piano and she mumbled "This song is dedicated to Adam... hold on to your hats..." -audience didn't stop talking so she screamed at the top of her lungs "I SAID HOLD ON TO YOUR HATS!" -audience shut the fuck up, she played the song and it was magical... like she was singing into your soul (that one song made the whole show worth it) -she couldn't decide what to play next so she lost the audience again -finally banged on the piano and ran off stage, lights went on, the end. I've heard that since she quit drinking her shows have become less... erratic...
The first set was probably about your typical 30-45 minutes. With all the indecisiveness, noodling around, and one proper song the second set couldn't have been more than 10, 15 minutes tops.
I read an interview once where she was talking about how playing live she could only be herself when she was covering someone else's music because she didn't feel like she was being judged.