"The Day the Mail Boat Finally Came" is a script found in Gloria's Theater in Psychonauts. It's one of the plays required to reach the catwalks above the stage. Razputin acquires it after climbing a dragon prop onstage when the Knight of Joy script is being played out.
When the script is played, a mailboat will appear onstage and it can be used to get across the cardboard waves. But first, the Mood Machine will have to be in "Comedy" mode to make it work. Razputin will then gain access to the third script, Goodbye Hagatha Home.