Family guy joke I don't get

There is this one episode of family guy (Don't make me over) where meg gets a makeover then they have a family band and stuff. And I have watched this episode a lot but there is one joke I don't get. It is when Brian and Stewie are in the mall while MEg and Lois are looking at clothes. Brian bets Stewie to run naked and scream "Help I just ecscped from kevin spacey's basement." and he does and then he goes bac to brian and brian says is it cold in here. and stewi says nope just really small.

I am assuming this has spmethign to do with the fact he was naked, but can someone explain this ot me?