I’m afraid BBC’s iPlayer doesn’t embed but UK users can watch the whole episode here or launch it from their XMB 😉
http://bbc.co.uk/i/n1j8q/

International readers you’re in luck! It’s also on youtube (for now)..

the rest of the episode can be seen at;
part 2
part 3
part 4
part 5
part 6

You can also read a review of the show on the Guardian’s website. It was a great show which earned higher ratings than any of his previous