Yeah you see the stuff from Times Square and all that live....but performances by artists and interviews etc are recorded earlier...the audience are asked to 'pretend' that it's New Years Eve.
It does sound daft but it allows them to book bigger 'stars' who may not want to work on New Years Eve, also they may not be as expensive (i can charge about 3 times as much my normal rate on that night so i wouldn't like to guess how much a big artist could charge
)