According to Jim Recap: Vegas, Baby (Part 1)
Jim and Andy get an expense-paid trip to Las Vegas, and they are going to take Dana because she was their lucky charm the last time they went somewhere and bet, but they aren't planning on taking Cheryl along. But then Dana says she won't go without Cheryl, so it turns into a family trip.
Cheryl's happy because this means that she can reunite Jim with his estranged sister Roxanne (Jennifer Coolidge), who recently moved to Las Vegas. Naturally, she doesn't tell Jim. She just lets her sneak up on him while he's playing cards. It doesn't go over well.
It seems that Roxanne owes Jim some money from way back, and hasn't made any effort to pay back any of it. Ever. She does, however, give him a check for a small amount, and then even buys him a cup of coffee on top of that, so he's warming up to her - but then she mentions that she needs $2000 to get her business of the ground, which sends him back the other way.
Cheryl thinks that he ought to consider giving her the money, but when she wins $2500 at slots, she gives her the money herself - perhaps a mistake when she finds out that Jim already gave her $2000. When Jim hears this, he goes to confront Roxanne, and ends up taking all the money back.
Later, they see Roxanne in the salon in the hotel, so apparently she got the money from somewhere. That's when her boyfriend comes in (the one who gave her the money). It's Andy. Uh-oh.
Make sure you read about the conclusion in Vegas, Baby (Part 2).

















