Ray Charles At Michael Jackson - 30th Anniversary Celebration (2001)

Poster.

Wikipedia specifies that the whole Michael Jackson: 30th Anniversary Celebration show actually consisted of two events, that took place on September 7 and 10, 2001 at Madison Square Garden in New York. Ticket prices were pop's most expensive ever; the best seats cost $5,000 and included a dinner with Michael Jackson and a signed poster. The concert official Boxscore was $10,072,105 for both concerts.
CBS aired a two-hour special (directed by Bruce Gowers)  in late November, editing from footage of the two separate concerts. The televised special re-sequenced the songs somewhat. IMdB possibly has the most complete description of the program. Also read this.

On 7 September Ray performed Crying Time, in a duet with Cassandra Wilson - but this performance  didn't make it to the televised show. The AP Archive, however, has a 5 minute reportage of the event, where at least Ray can be seen singing in shot #13. It aired on 10 September 2001.
Apart from that, the AP Archive has a Ray Charles "file reel" with a "Performance - Crying Time, Ray Charles & Cassandra Wilson". A few seconds of it can be watched here.
Ray and Cassandra also participated in the chorus line for the finale, a group rendition of We Are The World, that also was NOT aired by CBS. Conductor Quincy Jones for this occasion had also emptied his Rolodex with jazz instrumentalists, for instance bringing David Newman, Clark Terry, Les McCann and Jimmy Smith on stage.

The performance of We Are The World was a terrible chaos. An amateur filmer took care of the footage below.