The song was premiered at the Alexander McQueen show I wrote about in the last post.
Here is the video link http://www.youtube.com/watch?v=ACm9yECwSso
And most of the wardrobe seems to be McQueen pieces. Here are some stills of the video as well.
However this piece looks a lot like the bandage costume from the Fifth Element, which John Paul Gaultier designed. Check it out.