Well, the truth is blackcatter and Billd, that joke is:

"What's the last thing that goes through a fly's mind when he hits your windshield? His asshole."

Now, you see, guys (where is 'catspaw when you need him?), an asshole isn't actually a hole. It's really an aperture, which does, in fact, fact, have a physical presence sufficient to blow the fly's brain out through his 'face'.