Mid-80s.  Pretty sure I saw it a couple times on MTV.

The guys in the band looked middle aged; I used to think it was The Fabulous Thunderbirds, and it might be, but I don’t find any such thing by them on youtube.

The distinctive thing about the video was that they were all dressed as women.  Not drag-queen like; just silly looking.  I believe the various nonsensical scenes were all set in different historical periods, but I’m not sure about that part.

Anyone?   Thanks!