Continuity mistake: When Craig makes JM dance for Maxine look at the big white lamp in the background. It changes between standing up and lying on the floor several times. (01:20:00)
Continuity mistake: Before, during and shortly after his dance JM has a very visible lipstick mark on his cheek. At the end of the scene the mark disappears, then comes back, and then goes again. (01:21:35)
Continuity mistake: During his dance JM has a blanket wrapped around his hips. When he joins Maxine on the bed the blanket is suddenly wrapped around his upper body. (01:21:45)
Continuity mistake: At the beginning of the chase through JM's subconscious when Maxine enters the portal her hands are tied. When she lands in someone's bedroom her hands are free. (01:34:40)
Continuity mistake: When Craig first discovers the portal door his crouching position changes slightly between the camera shot inside the tunnel and that from the office, and again when he closes the office door and goes back to the portal door.
Continuity mistake: Towards the end after Malkovich gets off the phone with Lester, who threatens him, he has hair over his eyes. In the shot through his eyes however there is no hair seen. When it shows his face again there is still hair.
Continuity mistake: When Craig and Maxine are speaking with their first client (the "Fatman"), Maxine has a clipboard with paper on top on the desk in front of her. When the shot changes, the blue clipboard is now at the top, neither Maxine nor Craig removed the paper.
Continuity mistake: When Malkovich is in the bar at the end he puts his glass on his lap.In the next shot it's on the counter.Then in the next shot it's switched from his left hand to his right.
Continuity mistake: When Malkovich is in the bar at the end he has a glass full of black liquid. When the shot changes to through his eyes he has a very shallow amount of reddish liquid. In the next shot he has a half full glass of black liquid.
Continuity mistake: Towards the end of the scene where Maxine is on the floor of her office and Craig is on the windowsill arguing with her, Maxine's hand goes from resting on her knee to on the ground between shots.
Answer: It IS from Brazil. The song is called Brazil, performed by Geoff Muldaur.