Michelle Malkin has the full story. Basically, some big time money contributors to the Democratic Party didn't like getting skewered in the skit, and so they leaned on NBC to make it disappear.
Somebody, though, was able to save the SNL skit and upload it onto YouTube.
Update: The above video is no longer available as of 8:30 a.m. on October 7, 2008. No surprise, given NBC's reach and the fact that YouTube is owned by Google, which like NBC, is basically an enabler for the Democrat Party.