The David Letterman late night comic began his show by walking onstage and briefly leaning on a pillar with his back to the audience. He told his personal story after sitting behind his desk. Three weeks ago, David Letterman said he got in his car early in the morning and found a package with a letter saying “I know that you do some terrible, terrible things and that I can prove you do some terrible things.” He acknowledged the letter contained proof of an affair.  There were two subsequent meetings with the man, the last one resulting in the check being delivered. He told the audience that he had to testify before a grand jury on Thursday. “I was worried for myself, I was worried for my family,” he said. “I felt menaced by this, and I had to tell them all of the creepy things that I had done.” “The creepy stuff was that I have had sex with women who work for me on this show,” he said. “My response to that is yes, I have. Would it be embarrassing if it were made public? Yes, it would, especially for the women.” Whether they wanted to make the relationships public was up to them, he said. “It’s been a very bizarre experience,” he said. “I felt like I needed to protect these people. I need to protect my family. I need to protect myself. Hope to protect my job.”