IIRC its from the 2003 season. All of the songs used in the BBC radio series were old. Just lots of people had never heard them before.
And nope, JP is right, its not on the Folk The World CD. Or anywhere else other than the BBC CD.
Maybe you might want to invest in the radio series? Its 3 hours of Conchords goodness
If you don't want to pay for the actual CD you can pay less via amazon.com and get it all in mp3 format