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First Lady Michelle Obama made her first ever appearance on the Late Show with David Letterman last night, and discussed everything from her Target shopping spree, to dealing with her father who suffered from multiple sclerosis.

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Speaking with Letterman about growing up on Chicago’s South Side, Mrs. Obama expressed how she learned about the notion of unconditional love from her parents, and how it’s helped her become a better mother.

The First Lady said: 

“I think that’s the greatest gift they gave us, just their constant support and, you know, stability, and that’s really what we try to instill in our girls,’ she continued. ‘I mean, you talk about raising kids, it’s just really — you know, we had rules, we had boundaries, but there wasn’t anything my dad wouldn’t do for us, and, uh — don’t make me cry.

She stopped: “This isn’t “Oprah,” It’s supposed to be “Letterman.” What’s up? Where are the laughs?”

Letterman was quick to come back with a quip about his former television rival: “Did somebody tell you this was “Oprah”? Is that why you’re here? Oh my, someone misled the First Lady!”

Michelle appeared on the late night show to promote her Joining Forces initiative with Jill Biden, wife of Vice-President Joe Biden, which aims to support military families.

When Letterman asked about her shopping trip to Target, the First Lady said that she thought for sure her cover was blown when a woman approached her in the detergent aisle.

But Mrs. O. told Letterman the woman only wanted help with a package she couldn’t reach.

Obama said the woman apparently was oblivious of the fact she had asked a favor of the First Lady and said “You didn’t have to make it look so easy,” after the detergent was retrieved. “’That was my interaction, it felt so good.”

Take a look at the interview below!