Claire and her secretary Jackie are having a few drinks at Tagerty's, and Trevor is behind the bar. They meet a man who thinks that he is Don Quixote, and who thinks that Trevor is his loyal manservant, Sancho. Don tries to come to the rescue of a damsel in distress, and lands in the psychiatric ward. Claire gets him out of the hospital, and asks Trevor to try to convince Don that he is not, indeed, Sancho. She says if she can break that much of his delusion, that might give her an in to break the rest.
Trevor is sick and tired of being treated like a manservant, and is about to just take off when Don tells him that his manservant must help him find his fair Dulcinea, the love of his life. Trevor perks up his ears, and the two go Dulcinea hunting (after Trevor gets Champ, as a king, to knight Don). Don finally spots her on the street, and she turns out to be a "third rate stripper in a fifth rate club." Trevor tries to approach her for Don in the club where she works, and ends up getting kicked in the face for his troubles. When she leaves the club at the end of the night, Don charms her and they hit it off.
Claire is looking forward to having her father in town for a visit. Her parents divorced when she was thirteen when her mother told her father that he had to choose between his family and his guitar (he's a jazz guitarist). He chose his guitar, but was still a good father to Claire, always writing her letters and sending her presents from around the world. When he shows up, Claire insists that he stay with her and not in a hotel because they need to spend all the time together that they can. He hints that he may be around more often. Claire is excited, and finally gets him to admit that he is being offered a job as a jazz talent scout from a very good company and that he would be located in Chicago. He says the job is as good as his, and Claire starts helping him apartment hunt immediately. She is incredibly excited to have her father in town full-time. It still seems like there's something he's not telling her though.
Claire is upset that instead of trying to break Don Quixote's illusion, Trevor matched him up with his Dulcinea. She says Don can't possibly be ready to start a relationship when he can't even admit who he really is. Trevor points out Don with his Dulcinea in a corner of Tagerty's laughing and having a great time, and then her being fascinated when Don sings to her.
Trevor is trying to find out whether Claire's father was a good jazz musician. Champ takes him to a man he knows who is bascially a jazz encyclopedia. The man tells Trevor that Bill Allen was good enough to play with the best, but not good enough to play with the best when they were at their best. He sells Trevor an album which is a recording of Bill Allen (and others) performing live at the Blue Note.
Don walks his Dulcinea to work, and watches as she is maltreated by her boss. He tries to come to her rescue, and her boss beats the crap out of him.
Trevor comes to Claire's office looking for Don. Claire says she doesn't know where he is, but missing persons made a match and his real name is Robert Cunningham. He recently killed his own wife when he was driving drunk. Trevor goes to Dulcinea's dressing room, and she says that she doesn't know where he is. Finally, Don shows up in the psychiatric ward again. Claire says they have to break his delusion. Trevor can't understand why making the guy face the fact that he killed his own wife is necessarily a good thing. Claire says no delusions are good things. She asks Trevor to sit with him for awhile.
Trevor falls asleep in Don's room, and awakens to find Dulcinea being brought in for a visit by Claire. Dulcinea tells Don that her real name is Mary Jean, and that she hopes he gets well. Don finally calls her by her real name and says that he will get well. She says that he should come find her then.
Claire is watching her father perform. Trevor gives her the album he bought. Bill comes to sit with Claire and tells her that he might have a found a good apartment (something close enough so they could do Sunday brunches like she wants). She says that she realizes that he's not a talent scout, he's a player, and he shouldn't settle down yet. They hug and she shows him the album and he plays a song for her, "Breakfast with Claire."