Three young women who attend Lobelia Girl's Academy arrive at the Host Club and immediately realize that Haruhi is, in fact, a girl. It turns out the three are members of the Zuka Club at their school, which puts on over-the-top dramatic musicals featuring girls playing all the roles regardless of gender. They attempt to convince Haruhi to transfer to Lobelia.
Haruhi happens to be a bit miffed at the club at the moment, because Kyouya auctioned off a couple of her school supplies to her fans/classmates. As a result, the Host Club fears that she might actually consider transfering. In an attempt to prevent her from doing so, they all dress in drag-- in melodramatic Zuka-style attire, no less. This results in Haruhi cracking up, and then explaining that she wouldn't transfer away from Ouran: she's there for a reason, and it's not the Host Club.