The "Hey You" scene is on the DVD as an extra. If I recall, it's mostly just Bob Geldof running his hands along a huge wall for most of the song. So apart from the song, you didn't miss much.
The best part is Roger's commentary during this scene. He's actually quite funny in MST-ing the bit. You see Geldof feeling the wall in amazement, and Roger says, "Those Egyptians were bloody clever, weren't they?"
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