I did a bit of searching myself, particularly on Billy Connolly's website & Amazon UK. There's a lot of Billy Connolly CDs & DVDs available, but none of them have Connolly's parody of Alanis Morissette's "Hand In My Pocket" on them.

Seems that the easiest way to get the song is through YouTube.
http://www.youtube.com/watch?v=SfSBw-hk-iQ

Or, if you're into P2P file sharing, there's plenty of BitTorrent sites you can download it from.

If the audio from YouTube is any indication, I'd say the source for this song was "unofficial."
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