Listen now | Today’s film is Blue Velvet directed by David Lynch. It's a little hard to watch Blue Velvet right after Mulholland Drive, because in Blue Velvet it feels like David Lynch is holding himself back. The movie that feels uncommitted to its darker aspects, and falls a bit flat despite some great scenes.
At around 16:30, you mention David Foster Wallace incorrectly describing a scene where "He [The Yellow Man] is shot, and then the detective is suddenly over the body. He just appears there". It's possible that Wallace described this scene multiple times, and you're remembering a different interview where he did get this wrong, but I'm guessing you're thinking of this quote from when he was on Charlie Rose: https://www.youtube.com/watch?v=GopJ1x7vK2Q&t=1590s.
"There’s a moment when a guy named The Yellow Man is shot in an apartment, and then Jeffrey—the main character—runs to the apartment, and the guy’s dead, but he’s still standing there. And there’s no explanation. You know, he’s just standing there. And it’s almost classically French, Francophilistically(?) surreal, and yet it seems absolutely true and absolutely appropriate. And there was this way in which I all of a sudden realized that the point of being post-modern or being avant-garde or whatever wasn’t to follow in a certain kind of tradition, that all that stuff is BS imposed by critics and camp followers afterwards. That what the really great artists do, and it sounds very trite to say it out loud[…] is they’re entirely themselves. They’ve got their own vision, their own way of fracturing reality, and that if it’s authentic and true, you will feel it in your nerve endings. And this is what Blue Velvet did for me." -DFW