Go to http://www.bbc.co.uk/radio2/shows/wright/ and then click on 'Tue' just below the words 'Steve Wright' at the top, next to 'Listen Again'. As Jenny said you have to skip to the last bit of the show and you can only skip in 15 min intervals.
The interview might appear here eventually: http://www.bbc.co.uk/radio2/shows/wright/talkiebits.shtml
I finally got to listen to it. It was really good. I have always thought that he seemed like such a sweet man...and this interview reinforces that. He is polite and funny and so down to earth. As Jenny said, he really talks Patrick McGoohan up...and rightfully so. I know he is plugging his movie but it was nice to hear him talk so much about Columbo.
I'm already on line to buy his book!
Thanks again AJ.