It was in Season 3 - Episode 17: Cocktails. It is the one where Michael attempts a magic trick involving a straight jacket.
"The Office" is a fly-on-the-wall "docu-reality" parody of modern American office life that delves into the lives of the workers at Dunder Mifflin, a paper supply company in Scranton, Pennsylvania.
Since its premiere on NBC in March 2005, "The Office" has established itself as a genuine hit, earning prestigious television honors such as the 2006 Emmy Award for Outstanding Comedy Series, 2006 Peabody Award, 2006 and 2008 AFI Honors, Producers Guild Award, Writers Guild Award, SAG Award for Outstanding Performance by an Ensemble in a Comedy, Ace Eddie Award for editing and a Television Critic's Association Award for Outstanding Achievement in Comedy.
Check out these 61 interesting things you might not know about "The Office" shared by Buzzfeed.com.