The movie is presented as a practical joke being played on an aspiring actor named Perry Caravello, allegedly a gullible friend of Jimmy Kimmel and Adam Carolla. Perry believes he has been given a chance to make a movie called Windy City Heat, a crime drama about a "sports private eye" named "Stone Fury". However, there is no such film; it is all an elaborate prank played on him by Kimmel and Carolla. Every actor, extra, or any other person who appears on the show was paid for by Jimmy Kimmel to add to the joke. The actual context of Windy City Heat is a behind-the-scenes look at the filmmaking process, which is really nothing more than a series of situations set up as pranks on Perry, playing on his gullibility and naïveté of the film industry.
Apparently, the joke had been played on Perry over eleven years of meticulous planning. Caravello was a struggling comedian and actor who was "discovered" in 1992 by Don Barris, the warmup comic for Kimmel and Carolla's show The Man Show. Barris allegedly promised Caravello a chance at stardom and, along with Tony Barbieri playing the part of the perpetually stoned "Walter 'Mole' Molinski", he befriended Caravello and led him along for over eleven years. Together, Caravello, Barris, and Mole are known as "The Big Three", which Perry describes as "the Three Stooges of the new millennium".
Perry is followed around by at least fifteen cameras (some of which are hidden) during the filming process. Perry is told from the getgo that he is being recorded and interviewed for the film's DVD extras. Some of the pranks include repeatedly dumping Perry into a dumpster filled with manure; making him drink a milkshake made of coffee, Chinese food, raw egg, pizza, and beer (an obvious reference to Arnold Schwarzenegger in End of Days) giving him a case of severe diarrhea; and bringing in a stunt double "Fat" James Price Jr. to film Perry's sex scene with his leading lady. Along the way, Barris and Mole continue to egg Perry on—performing a balancing act of pushing his buttons and stroking his ego—only causing more problems on the set, increasingly infuriating Perry and frequently leading him to scream in a high-pitched shriek. Barris regularly tells Perry to "unleash the Fury".
Throughout the filmmaking process, Perry is introduced to several individuals, purported to be real people, whose names are identical to historical and cinematic figures. Such individuals include the producer of the movie, "John Quincy Adams" (who Caravello never meets in person, but is voiced by Barbieri, and only calls when Mole leaves the room), casting director "Roman Polanski" (who refuses to shake Caravello's hand, played by Dane Cook), studio receptionist and soon to be co-star, "Susan B. Anthony" (Lisa Kushell), Japanese "money man" "Hiroshima Nagasaki" (who backs out of financing the production when a table of treats is knocked over), limo driver "Travis Bickle" (Dave Sheridan), set designer "Ansel Adams" (Toby Huss), and stagehands "Sacco and Vanzetti". Perry never questions these coincidences, though he does express doubts as to the identity of a man purporting to be Charlton Heston, who refused to leave Perry's assigned trailer. To placate him, Perry suavely offered the old man a cameo in the film, which he enthusiastically accepts with humorous results.
The film culminates in an intentionally hindered race to the fake film's "one time only screening" during which Perry is delayed by a number of setbacks, until finally making it in time to see a select few scenes of the film. The film itself (what is actually shown of it) features laughably unrealistic special effects, lines of dialogue ripped from Casablanca and Gone with the Wind, and even a dinosaur (at the insistence of the film's financier). Following the screening, Perry is met with a round of applause from the audience, and is presented with a trophy from the "President of Show Business".
A running gag in the movie is that whenever Caravello's name appears in print (on his trailer door, and on the marquee at the film's premiere), it is misspelled. When the DVD of the film was released in 2006, the cover is listed as starring "Perry Karavello".
On the syndicated radio show Loveline, Dr. Drew Pinsky once suggested that Perry acts like someone with brain damage, being unable to read social cues and not connecting the dots. A review on the IMDb, by someone who allegedly knew Perry in high school, claims that he was rendered comatose in an accident and suffered severe brain damage. Possible evidence of this claim can be seen in the form of what appears to be a scar from a tracheotomy on the front of his neck during many of the Windy City Heat interviews.
On Caravello's star commentary track for the DVD (recorded two years later), he acknowledges that he has since realized that sequences in the film were set up as pranks on him (he says he read about it online), and that he knows Barris and "Mole" (Barbieri) were intentionally conniving to infuriate him, yet he continues to speak of the "film" and his acting abilities with the same gusto. He also gets emotional watching the scene at the film's premiere when he receives the trophy from the "President of Show Business", and says that he cries every time he watches it.
Also on the commentary, he claims that he was playing along during his audition, when Dane Cook introduces himself by the name "Roman Polanski", stating that he had "fucked with everybody" (he says he did a paper on Roman Polanski in elementary school), yet he speaks as if he thinks was actually on a real audition and won the part.
On June 1, 2007 Perry Caravello filed a lawsuit against Jackass star Johnny Knoxville alleging that Knoxville, along with Jimmy Kimmel and Adam Carolla, promised him $10 million dollars to put his genitals in a mousetrap as a stunt to promote the recently released DVD and for payment for his performance in the movie. Caravello dropped this lawsuit on June 10, 2008. It is not known if Knoxville, Kimmel, or Carolla settled with Caravello monetarily.