It is usually a post concert concert, where he plays as whatever he feels like for as long as he feels like.
I was lucky enough to see Prince at the 02 in London last year. The after show took place in a smaller (2000 capacity?) venue. He took the stage at around 1:10am and played until about 3:40am. Of course there is no guarantee that Prince will show up at all, or now long he will play for if he does, trust me, it is totally worth your time and money :)