06/29/2007 AT 04:45 PM EDT
Sunday's Concert for Diana
will feature one of the late princess's favorite bands: Duran Duran. So what was it like having the world's most famous royal as a fan?
"It was mutual," keyboard player Nick Rhodes, 45, tells PEOPLE. "She was our favorite princess. We had a history together."
Rhodes recalls that when he and his bandmates first met Diana at a charity event, she was "very shy. I remember thinking how fragile she was."
The second time they met – at the London premiere of the 1985 James Bond movie A View To A Kill
(Duran Duran played the theme song) – she was much more "animated and full of life."
"She was laughing and joking because she had just recently been to America and had met President Reagan," Rhodes says. "Much to her amusement, he had called her Princess David."
Rhodes says Princes William
and Harry, who organized the concert, invited Duran Duran to perform and specifically asked that they play their hit "Rio" for the crowd at London's Wembley Stadium.
"We have been very touched by how incredibly hard [the princes] have been working on the event and how very important it is to them," Rhodes says of the concert, which will include performances by Elton John, Lily Allen, Kanye West, Fergie, Bryan Ferry and Joss Stone. "They are pulling out all the stops to try to make things happen."