I saw this at a film festival ages and ages ago so I admit my memory of it is getting quite dim. I do recall it being one of the best things at the festival that night, full of colour, sound and energy well-suited to the song itself.
I'm not quite sure why the only place you can find this short is on that Sick 'n Twisted collection. I don't remember anything particularly controversial about it at all--except possibly the presence of the Devil playing a fiddle.
But anyways, a great short that's worth tracking down.