I was there by chance one year. It was 12/12/04 if I remember correctly. I heard that they were filming over that whole weekend. It is not like seeing a regular parade though. It only runs on a small part of Main St. where they are filming. It was very very very difficult to get a spot to see it. Also, they do not do the whole thing at one time, and often repeat certain parts. To see it all, you would probably need to stay there for a few hours. It is more of a studio production than a parade. If you want to see a good holiday parade, consider the Christmas party at the MK where they run a holiday parade.
Kevin
Update: If it is normally the first weekend, then it must have been 12/5/04. I had a hard drive crash in early '05 and lost my pics from that month, so I am not sure.