This comes straight from NY Daily News:

Stern's Sirius radio show producer Gary Dell'Abate, show regular Artie Lange and comedians Nick Dipaolo, Jim Florentine and Dave Attell had just finished a comedy show for troops in Kandahar when the base came under attack.

"Everything was going fine until the end," a friend of the comics, who heard from them by cell phone, tells us. "They were all done with their sets, and they were headed in a car convoy to a meet-and-greet elsewhere, but they only made it about 20 yards.
"The military base they were on came under mortar fire, and the convoy was turned around."

Troops led the comics into a secure bunker, where they all waited for a very unfunny 35 minutes as the shelling continued.

Eventually it stopped, and the comedians, all uninjured, went on to continue the USO/Armed Forces Entertainment tour at other undisclosed locations in the Persian Gulf. Tony Burton, Dell'Abate's rep, confirmed the incident but couldn't comment.