For Adam McKay, his birthday parties as a kid were spent in one place and one place only: Higgins Armory in Worcester.

McKay, an Academy Award-winning writer, director and producer, appeared on Conan O'Brien's podcast "Conan O'Brien Needs a Friend" this week to discuss how he was able to adapt The Big Short to film, his new podcast "Death at the Wing" and, of course, celebrating birthdays in Worcester.

O'Brien's mother's family is from Worcester and McKay said he spent several years of his childhood in Worcester. 

O'Brien says his grandfather directed traffic in downtown Worcester and his father attended Holy Cross. 

"I think I spent every single holiday as a child in the car driving to or from Worcester," O'Brien said to McKay, adding that he remembers specifically visiting the now-closed Higgins Armory.

"Every birthday I've ever had in Worcester was spent at Higgins Armory. It was a fake castle over in the hills of Worcester...It was the coolest place on planet Earth," McKay said. 

"It was a cool museum without all the boring museum parts," McKay added. 

McKay also shared stories about riding around Worcester in Webster Square as a kid without a seat belt on. 

McKay was also a writer on Ant Man, directed Anchorman, Talladega Nights, and The Other Guys and is a director and producer on HBO's hit show, Succession.

Hear the hilarious conversation on Higgins Armory [22-minute mark] and the entire podcast here: