Lohan started by quipping with Letterman that she "thought she was doing Fallon."
The two reminisced a bit on her past appearances on the Letterman show before turning to the troubled star's brushes with the law.
"You look remarkably well," Letterman said, before joking about her previous brushes with the law. "Yes or no, do you steal stuff?" Letterman asked.
"Aren't you supposed to be in rehab now?" Letterman asked. "How will this time be different? What are they rehabbing, first of all? What is on their list? What are they going to work on when you walk through the door?"
"We didn't discuss this in the pre-interview," Lohan replied. "To be honest, I'm the happiest when I'm working, and the healthiest. I think this is an opportunity for me to, you know, focus on what I love in life. I don't think it's a bad thing. I think it's a blessing."
Lohan said she will enter rehab on May 2 for three months.
"Do you have addiction problems?" Letterman persisted.
"Now you sound like Dr. Phil," Lohan quipped.
"When you go to the rehab..." Letterman started. Lohan then tried to get the interview back on to her upcoming movie. Letterman's persistence, however, won out.
"I'm a target. I've always been. I've put myself in the situations in the past where I take full responsibility for it, and it wasn't funny. I was being immature. I was going through a phase. I had a lot of family stuff going on and things in life. You grow up, you mature," Lohan said.
As CBS 2's Dana Tyler reported, Lohan started out laughing off Letterman's barrage of jokes at her expense, but later got emotional as the interview went on.
"You have enough spine, enough sense of yourself, enough poise to come out here and talk to me," Letterman told Lohan.
That comment brought tears to Lohan's eyes.
"Aww, she's tearing up a little bit. God bless you!" Letterman responded.
Body language and image expert Dinah Day said Lohan seemed comfortable, but far from sincere.
"She's good with him, she's not intimidated by him," Day told CBS 2's Tyler.
"I'm not sure those tears were related to that comment but maybe something that she's feeling from a few minutes earlier," Day said. "If she thinks she's crying now, wait til she gets to rehab."
Day also said Lohan's voice itself gives her away.
"She sounds like she's had a lot of late nights and has been smoking cigarettes," said Day.
Watch a clip of the show below.
"I've gone through a lot in life, and I'm looking forward to taking for me," Lohan said.
Lohan is going to rehab this time as part of her sentence for lying to police about a car accident.
The actress repeatedly said her upcoming rehab is no laughing matter.
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