Prince performs during his "Welcome 2 America" tour at The Forum on April 14, 2011 in Inglewood, California. Credit: Kevin Mazur/WireImage

Prince paid tribute to his late protege, Vanity, during a concert in Melbourne, Australia, on Tuesday, February 16.

The singer-songwriter spoke openly about his ex-girlfriend (real name: Denise Katrina Matthews), and told the audience that learning of her death on Monday was difficult.

"I'm trying to stay focused, it's a little heavy for me tonight. Just keep jamming," Prince, 57, told the crowd at the Arts Centre Melbourne's State Theatre, via news.com.au.

"Can I tell you a story about Vanity? Or should I tell you a story about Denise? Her and I used to love each other deeply," he continued. "She loved me for the artist I was, I loved her for the artist she was trying to be. She and I would fight. She was very headstrong 'cause she knew she was the finest woman in the world. She never missed an opportunity to tell you that."

Prince discovered the late model-actress in the early '80s, and recruited her for the girl group Vanity 6 along with Susan Moonsie and Brenda Bennett. As previously reported, Vanity died at the age of 57 from kidney failure and an abdominal illness.

The "Purple Rain" singer dedicated the song "Little Red Corvette" to her on Tuesday night. He joked about a fight they once had, too.

"'You can't throw me in the pool, you're too little,'" he recalled her saying. "I probably shouldn't be telling this story, but she'd want us to celebrate her life and not mourn her."

Can't get enough of Us? Sign up now for the Us Weekly newsletter packed with the latest celeb news, hot pics and more!