It came free when I bought the collection on i tunes years ago. it's called The True History of the Travelling Wilburys. Only 25 minutes or so but it's set at the cottage as they recorded Handle with care and says from the horses mouth about how they got together.
Look carefully, it may come free with The collection or something. Don't know if it ever went on sale independently. Only an half hour long so it may not have.
Bri, I'm a senile old sod. I have just checked my copy of the Travelling Wilbury's Collection and I have a copy of the DVD, I will need to watch it now. Cheers mate