From Muppet Wiki

Colambo is Muppet lamb detective seen in a series of Sesame Street segments. His first appearance was as an investigator for the Bureau of Missing Bears, helping Big Bird to find Radar. Colambo appeared on the show from Season 23 to Season 26.

The character is a parody of TV detective Columbo, who was played by Peter Falk.

Joey Mazzarino, performer of Colambo, originated the character in his audition script for Sesame Street.