5th track of Rudebox.

Robbie said: “In case anyone asks… there is nothing tongue in cheek about this song at all, I have always fancied Madonna. I’d have hoped for it to be this good, but you can never tell before venturing into the studio. It is just a bonus that it worked out so well.”

In the music video we see Robbie Williams' private persona, which is a woman, getting interviewed. During the interview Robbie talks about his multiple personalities, which are roughly divided in his private persona and his stage persona.
As he undresses his private persona, he puts on his stage persona which is Robbie in his appearance as we know him.
He goes to sing the song in some louche nightclub where he does not find love at all.
The interview ends with the journalist asking what the private persona wants to say to the stage-Robbie. The message that comes across is that the Robbie we know is a ‘good lad’, but the tone in which the message is spoken is a sad one. As if the two are separated that much and they cannot ever come together for the ‘jumbo cataclysm’ which the private persona talks about earlier.

The message in the video seems to be about the struggle between being yourself and being that person everyone else wants you to be.