a casual observer will treat it as one of those pictures that needs to be done once, in order to claim their supposed "originality." at the first sight it is merely a documentary for the film - something you could have found as the bonus for the dvd edition. the artistic/creative work done by the directors of the movie is minimal, but through them we get to experience what gilliam had in mind for his picture. except for the fact that this picture has never existed.
this is where the fun starts. we are watching the "truth about the non-existent" (loosely paraphrasing baudrillard's definition of simulacrum). from now on so much could be built on the dualism of experiencing gilliam's vision (our mind is performing the work that could have been done for us were the movie ever made; we create the fictiona reality, filling in the gaps), as well as witnessing gilliam at work, getting emotionally involved in his story of making his vision come true. these two parallel stories, these multiple view points play off each other, change each other and offer so much room for experiencing the process itself. two stories unfold through each other, characters travel from one reality to another (gilliam and don quixote are strikingly similar), the sense of absurd (cervantes and blind chance both set out to humiliate and destroy their characters).
in many respects it is almost a textbook study, a purely conceptual work that in the end renders the unfinished original film (almost) without any need to be ever completed.