On Thursday, “Late Night With Conan O’Brien” will devote an entire show to one guest: U2. The band will perform at least three songs as well as be interviewed by O’Brien and participate in comedy bits. It will be the first time “Late Night” will devote an entire show to one guest, let alone a musical act. The booking is the culmination of 12 years of cajoling by talent exec Jim Pitt, who until now considered U2 and the late Johnny Cash to be the two most difficult artists to book. “I got a call and they said all my years of begging had paid off,” Pitt said.In town for a sold-out seven-show run at Madison Square Garden, Pitt said U2 was in the mood to do some TV, but wanted to do something that would stand out from the standard latenight appearance. The band’s management and “Late Night” producers came up with the idea of doing a whole show.