May 03, 2016 05:00 PM

Tamron Hall holds many special memories of her dear friend Prince close to her heart.

Now the MSNBC and Today anchor, who took more than a week off following the singer’s untimely death and returned to work on Monday, has opened up exclusively to PEOPLE about one of the moments most special to her.

Tamron Hall; Prince
Cindy Ord/Getty; Eric Jamison/AP

“One of my favorite memories was one time Prince picked me up and said we were going to Michael Jordan‘s birthday party,” Hall, 45, tells PEOPLE.

“We get to this venue and enter in through a side door. There was this room filled with beautiful flowers,” she recalls. Confused, Hall asked Prince, where the party was. “Well, Prince laughs and turns to Damaris Lewis, a member of the band and a very close friend, smiles and says, ‘She has no idea where she is!'” recalls Hall. “So he takes my hand and leads me through a door that opens up to a stage and all of a sudden a guitar appears and his entire band is there.”

Learn Fascinating Behind-the-Scenes Stories About Prince’s Most Iconic Performances

For more on Hall’s memories of Prince, pick up this week’s issue of PEOPLE, on newsstands Friday.

“It was a whirlwind, but I realized I was sitting on stage for a surprise Prince concert!” continued Hall. “It was truly amazing looking at the faces of the people in the audience – who were just as shocked as I was – as they realized that Prince was about to perform for them. It was really magical. He always loved to joke and do fun things like that.”

While a source says Hall once had a romantic relationship with the singer, a rep says the pair simply remained “close friends” until he died.

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