According to a behind-the-scenes photo, the backdrop set from the TV series is used.
This marks the last time the Baby Bop costume is as tall as Barney's, and the last time that she is portrayed in the costume by Jenny Dempsey. Afterwards, from the second season of Barney & Friends (1992) onwards, until season 12, Jeff Ayers would take over as Baby Bop's costume performer.
An instrumental of "The Goodbye Song" from Barney Goes to School (1990) is played when Barney and the kids say goodbye to the King.