There's different kinds of improv. There's Second City improv where you try to slowly build a nice sketch. There's stuff you do in college coffee houses where you just go joke, joke, joke. Bring another funny character with a funny hat on his head. Christopher Guest is more the line of trying to get a story out.
I did a show called 'Lois & Clark' - it was about Superman - years ago. They wanted someone to play the president of the United States. The plot was the president got kidnapped by a group, and they made a clone of him, who was very irresponsible and silly.