They wrote this song. Many people remember Joan Baez singing this (like at Woodstock).
The lead is sung by Levon Helm, who died last year from a long bout with cancer.
This video is taken from the movie The Last Waltz. In my opinion, this is the best concert movie made.
The Last Waltz concert was on Thanksgiving Day, November 25, 1976, at Winterland Ballroom in San Francisco, and was their last official concert.