We are often attracted to people who we think we know -- people who are in the media spotlight in a way that you think you have seen everything you can see, and heard everything you can hear about them. But often it's those people who we know the least about.

Really, the hook for this film was meant to be the building of her brothel in Crystal, Nevada. We were very interested just purely from a character study perspective and understanding a really interesting personality. But we also thought, "Oh, here is a great narrative arc." This film will start with the breaking of ground and hopefully it'll end with a ribbon cutting ceremony - and who knows, maybe even a big dance number with a bunch of male studs. Obviously it didn't end up that way...

We knew we were dealing with someone who had been through rough times; who had survived a stint in prison; who had previously had issues with drug addiction. So we weren't completely naïve; we knew we were dealing with someone complex. We did not expect to find someone who was going through as tough a time as she was when we were filming. That did take us by surprise and it had a huge impact on the film that we ultimately made.

The reality is, when you are making virtually any documentary film, you imagine it in your mind. At times, you even create an outline. You pre-produce in your mind what this film will be. And then you get the camera in your hand and you throw everything out. Sometimes you are able to keep some of the ideas intact. It changes with every project. With this film virtually every pre-conceived notion of what we thought this film should be, we had to throw out the window. The one thing I would say that this film still has...that inspired us to make the film at the beginning...is just an incredibly compelling character. She is smart, she is funny. She is a bit of all the things that we imagined. The only difference is that, while we were making this film, she was struggling with the disease of addiction.

You know, people set out to make films about addiction on a regular basis. But to see someone talk about it in a sober way and then live her life in what might be perceived as a not-so-sober way...it's not fun when you are in the field making it, but it's pretty compelling to see.

Our style of filmmaking is that we try to immerse ourselves in the subject's world as much as possible. We try to experience and look at the world and take it in the way our subject is. A lot of times, that's great, it's fabulous; you are immersing yourself in some fabulous person's world. But if they are truly experiencing a difficult and challenging and at times dark time...then it becomes a whole other experience. There were incredible highs and incredible lows. And a lot of time waiting. We have spent a lot of time at the Days Inn in Pahrump, Nevada. And let me tell you, it's no Bellagio.

Look, we had a lot of soundbites and audio from Heidi that would tell the kind of story we needed to tell. But there is just no way that this film would connect to people without that kind of an interview. We needed that. We were at a point in the film where we were shut out of our subject's life; she refused to work with us. Sheila Nevins conducted that interview. In the film, you see a number of people that we witness come into her life and get shut out -- you see Michael get shut out. Literally, that was gonna happen - no matter what - from day one. So we were just waiting for that to happen to us, and eventually it did.

Everything is inspired by the subject: All the images, everything. A lot of it we decide as we are putting the film together, as we are in the edit room, as we are listening to things she said. That's where it all comes from. Some of it is stuff that we already shot; some of it is stuff that we literally set up in shoots, like the birdcages. There were a lot of metaphors going on and a lot of possibilities of visual motif that we kept seeing -- like birds in cages and her in prison.

If we had tried to write this story, no one would believe it. You know: a bedridden former Madam who collects exotic birds...who dies and leaves the birds to Heidi. Come on. And I remember the first day meeting Maryanne, and seeing the way Heidi looked at the birds, and I just thought "Oh my God, really, this is the story - and this is the film."

Our style is all about the subject. I think that we are versatile documentary filmmakers. We are not "old school," we are not "purists," we are not particularly objective. [LAUGHS] We make films that aim straight for the heart. We are all about trying to understand misunderstood people. The number one thing is just for us to listen. We listen to what people are saying. And we watch what they are doing. And everything we do is inspired by that. We are not precious about filming a prop or recreation. We are not precious about any of that because everything is inspired by trying to understand our subject; by their words; by what we are feeling; by just...trying to get into their head and their heart.

Here is the thing. Truth is stranger than fiction. And truth inspires all fiction. Everyone who wants to tell a story - every movie that's made, every book that's written, whether the story is based on truth or not, everyone is trying to recreate something real. Recreate a real emotion. Recreate a real feeling. Recreate a real character. In that sense, documentaries always have one-up on all those other forms, because you have the opportunity to get the real deal right there, right in front of your eyes. But sometimes people get it wrong, [LAUGHS] you know? Pointing the camera and just shooting it at something real does not make a great documentary.