At 4secs, the caption reads "HIGHWAY 375 RURAL NEVADA 11:17PM." Highway 375 exists in Nevada and is known by the official name of "Extraterrestrial Highway," since 1996.
Michael McKean was delighted when the show approached him about being a guest star because he was a big fan, having watched most episodes in his dressing room during rehearsals for Saturday Night Live (1975) (The X-Files was broadcast on a Friday night.)
Originally, the writers contacted Garry Shandling, who was good friends with David Duchovny, to play the part of Fletcher. Unfortunately Shandling was unavailable.
Michael McKean's character of Morris Fletcher later appeared in Three of a Kind (1999) and Jump the Shark (2002).