Conversation so far:
When did Sheila E. reunite with Prince?
Sheila E. once again teamed up with Prince in March 2008.
What happened at the reunion between Sheila E. and Prince?
Sheila E. once again teamed up with Prince in March 2008, as she sat in (and played keyboard) on the performance.
Any awards won in the performance with Sheila E. and Prince?
No

Question: Where did they reunite?
Self-contained rewrite: Where did Sheila E. and Prince reunite?