A lot of people think that this song contains a bagpipe solo. It does not. A combination of two guitars - one played with an EBow - and its recording on a Synclavier generated that bagpipe-like sound.
Co-written by Steve Kilbey - yep, two days of him in a row - and Karin Jansson, the song gets its title not from a group of stars, but from an Amsterdam music club. It was well recevied at the time of its release, and remains their signature song today.
In the absence of the Synclavier, you can hear in this 2011 live recording that those bagpipes are really guitars.