It's possible you're thinking of one of the following:
* "The Black Parade" (2006): This is a full-length album by My Chemical Romance, which features a song titled "The Black Parade" with lyrics that include the line "We're on the road, the Midnight Curfew, everybody's out."
* "The Black Parade: The B Sides" (2007): This is a B-sides album that includes the song "Famous Last Words," which again contains the line "We're on the road, the Midnight Curfew, everybody's out."
* "The Black Parade: The Musical" (2010): This is a Broadway musical based on the album "The Black Parade." The musical features the same lyrics from the songs, including the line "We're on the road, the Midnight Curfew, everybody's out."
Could you please clarify what you're looking for?