As African explorer captain jeffrey t spaulding groucho marx dictate a letter to the law firm of hungerdunger and mccormick in what movie?

You're describing a scene from the 1981 comedy film "The Great Muppet Caper."

In this scene, the Muppets are in London and need to clear their names after being falsely accused of jewel theft. Kermit the Frog, in the guise of "Captain Jeffrey T. Spaulding," writes a letter to the law firm of "Hungerdunger and McCormick" in the style of Groucho Marx.