Donald Trump made his first appearance on "The Late Show with Stephen Colbert" Tuesday night since the show premiered earlier this month. Trump was on his best behavior during the interview with Colbert and discussed his views on immigration, President Barack Obama's birth certificate and veterans.

"I want to thank you. Not only for being here, but for running for president," Colbert told Trump. "I'm not going to say this stuff writes itself, but you certainly do deliver it on time every day," he added.

After pleasantries were exchanged, the two discussed Trump's incredible surge in the polls.

"I am not surprised at all," Colbert said about Trump leading the Republicans in the latest Zogby poll. The poll showed that Trump was up at 33 percent after the second GOP debate.

"I'm liking him a lot," Trump told the audience.

The conversation then turned towards Trumps feelings on Immigration and the wall he said he would build around the country if he gets elected president.

"We have to have a wall, we have to have a boarder and in that wall we are going to have a beautiful big fat door where people can come into the country, but they have to come in legally," Trump said.

At one point during the interview, Colbert asked Trump if President Obama was born in the U.S. Trump did not take the bait.

"I don't talk about it anymore," Trump said. "I talk about jobs, I talk about our veterans being horribly treated. I just don't discuss it."

In the most entertaining part of the interview, Colbert asked Trump to play a game he called "Trump or Colbert."

"For years I played an over the top conservative character, not as long as you did," Colbert joked. "I was looking back at some of the things you said over the years and sometimes I couldn't figure out whether I said them or you said them and so I would like you to help me figure it out."

Check out the hilarious segment below!