The whole thing with Windy City Heat (2003) is that it's supposed to be an "elaborate prank" on this unknowing guy, Perry. Of course, he isn't actually clueless, but plays dumb for comedy as part of this comedic trio.
And of course, there isn't an actual Windy City Heat movie that you can actually watch. It exists only as the scenes featured in the movie Windy City Heat, which is a behind-the-scenes documentary in style and not the "actual movie".
(Either that, or I'm completely fooled.)
But toward the very end, when they finally get to the huge audience waiting for them and meeting the "President of Show Business" and getting the big trophy and all that, it really seems to me as if they have shown some kind of movie to the audience due to their facial expressions. But what could they show when there is no actual Windy City Heat movie, and the documentary-style one they are currently shooting is not finished yet?
Or was that entire audience really made up by paid actors? It seems to me like they couldn't afford that. The people look famous too. Did they just get all those people to play along on their prank after/before some actual (paid for by somebody else entirely) happening to which all those people were invited?