I'm not a native, but I'd say, in most cases, when you try to get sb to explain a joke you don't get--be prepared, they may no longer be funny anymore (to you), but I guess we get a little bit of the essence of the sense of humor in a certain culture, hopefully I'll get it the next time.
I'll try to explain it this way by putting a parenthesis after the last line:
good. (It's good that you don't know how to save them because I want them drowned!---it's this unexpected reply that makes the joke funny)
