Could someone explain the Michael Emerson "What puppy?" moment? What the heck is it from?

That youtube clip of Michael Emerson (Ben Linus from Lost) saying "What puppy?" with such urgency and seriousness has baffled me for a long time, as epic as it is. Where in the world is it from? I know he was a guest star on other TV shows and made-for-TV-movies. I just want to know what kind of context that quote would have...