I don't know when they played, but the entire show was recorded. The following link, is a 45 minute live show of Sigur Ros, playing some old classics, and a few songs from their latest album.
http://current.com/items/89173668/sigur_r_s_moma.htm
*edit*
Feel free to move this to the 'Music' area if this is wrong placement, but I figured more people would see it this way.