Prince performs at Toronto Public Library (sort of)
Now that I have your attention ..... Toronto Public Library has CDs, music scores and biographies on Prince all for free and you don't have to stand in the rain.
There are several sheet music collections featuring the music of Prince.
There are even some of his performances live on DVD:
And then there is 21 Nights by Prince with photographer Randee St Nicholas. This multimedia volume explores one tour through photogrpahy, lyrics, poetry and text.