 Madonna first performed the song on her 1987 " Who 's That Girl World Tour " . She came up on the stage wearing a blue dress to sing the song after finishing a performance of " Lucky Star " . In a similar setting to the original music video of the song , Madonna is backed up by her singers who play her girlfriends . At the end of the song Madonna is asked to dance again by the dancer playing her man in the performance . Her dance in the performance ( and also some other performances in the tour ) was choreographed by Jeffrey <unk> from <unk> . Two different performances of the song on the tour were included on two live video releases : Who 's That Girl : Live in Japan , filmed in Tokyo , Japan , on June 22 , 1987 , and <unk> <unk> : Live from Italy , filmed in Turin , Italy , on September 4 , 1987 . 
