Conservative Huh?

Here is an interesting part of an article my dad showed me from the Jackson Hole Daily.

It's the conservative in me that wishes we had an old-fashioned government jobs program, such as FDR's Works Progress Administration, which hired unemployed people to work to build roads, libraries, public toilets, hiking trails, tens of thousands of small useful projects.
-Garrison Keillor (Wednesday April 7, 2010,  Jackson Hole Daily)

Here's a question for you Mr. Keillor; what does a Government jobs program have to do with anything Conservative?  The government stepping in to make jobs is completely Liberal and even Progressive in nature.  Also, how do you say FDR and Conservative in the same sentance?  They are complete opposites, with FDR and his type desiring huge government being in control of the economy and Conservatives pushing for small government with private sector initiatives.  The conservative in you?  I beg to differ.