You weren't far out with your guess, Nick! Roxy's contribution to the programme was restricted to the final 12 mins: a brief chat with Andy (explaining how & why the group came to do Lovebox), followed by performances of My Only Love and Love Is The Drug.
Only discovered on Friday that Jo Whiley's Radio 2 show the previous evening had re-broadcast Roxy's June 2001 gig from Glasgow SECC. However, it's still available on the iplayer for another 4-5 days; try the link
www.bbc.co.uk/iplayer/console/b00tbsvr. The Roxy gig is 61.5 mins into the two hour broadcast and the 10 tracks (listing available on request

) run to 56.5 mins.