For anyone that doesn't have the WiiWare version of this game, watch literally the first 10 seconds of this video:
Anyway, when the game is selected from the Wii Menu, Strong Bad loads up SBCG4AP102.wad. It's pretty much implied that he's loading a pirated copy of the game.
The funny thing is, though, .wad is a Wii channel-format file, but it's the unofficial one used for piracy; Nintendo and other developers don't even use or acknowledge it. Someone over at Telltale hasn't been buying their games if they actually knew about this. :P
Old news, but I thought it was pretty funny.