I think its hard to find because:
1. they didn't play that many shows
2. they played the shows years ago
And back then filming gigs wasn't as easy as today with the digital cameras.
But I remember Dan had a show on his old mega-site
Maybe somebody saved it.
this show is damn good. quallity is really good.Mp3:
http://rapidshare.com/files/46590948/EDGE_OF_SANITY_-_LIVE_IN_DENMARK.ZIP.html
..videos maybe later...