This recording's from Copenhagen, June 4/ 2000. The song got a belated studio version release many years later on Mazzy Star's "Still" e.p., released in 2018.
Oct. 2013 update: I maintain & update an extensive (mostly live shows) bootlegs list with download links at new fan forum mazzystar.free.fr of Mazzy Star & related artists (Hope Sandoval, Opal, Rain Parade, etc.). The boots thread is found in the "General Discussion" section. "Worthwhile music's for sharing, not hoarding". The forum also has a thread with eight 2013 press interviews with Hope & David. So, check out mazzystar.free.fr
THAT WAY AGAIN (attempted lyrics transcription)
He says that he tries to solve all his problems
And he's bringing me down
I just wait around
Forgiveness is just an empty thought
I find myself moving on, moving on
He looks through my eyes once more
And gives me away like somebody's bride
I'm never gonna think of him that way again
I'm never gonna think of him that way again
He looks through and disappears
And I wonder if I'm still ashamed
I thought of that through the gloom
But it's just still the same
I'm never gonna think of him that way again
I'm never gonna think of him that way again
That way again
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