This video (ASF, about 3Mbs only) taped from news of Russian TV Channel ("1TV") in February 2004 - it says about Brian/Roger arrival to Moscow (for Roger it was a first visit to Russia). Brian's short interviews are sadly dubbed on Russian... Well, to be honest you'd hear as much Russian words as you have never heard before, so be ready and take it easy.
There are some footages of the meeting with fans in airport, Roger's giving autographs there, some footages from WWRY musical (not Russian one), Brian, Roger, Ben and De Niro posing. Maybe for someone it would be interesting, I don't know. If you'd need in some translation - you know where to find me. link