During an appearance on The Kelly Clarkson Show on Tuesday, the British royal recounted how she and Diana decided to dress up as police officers for her "hen party" prior to her marriage to now ex-husband, Prince Andrew, in 1986. Sarah smiled, remembering how the bar staff weren't impressed with their costumes: "It was extraordinary, because we went to a nightclub, of course, you go to a nightclub with the Princess of Wales, then Princess of Wales…" Sarah Ferguson / The Kelly Clarkson Show.