Well, Mrrzy, the "brick" joke is a stupid one and it's debatable as to whether it's worth getting, but here goes:

You offer to tell a joke, and tell the first part (ending with the brick being tossed away). It's not really a joke, it has no point, nobody laughs, so you then offer to tell one that is surely better. Now you tell the second part (which perhaps can be embellished a bit to make it more engaging), and when you ask "And guess what the dog has in his mouth?", everyone figures it must be the cigar (presumably they have dismissed all thought of the first part, since it was stupid and unfunny)--it's such a cute and logical thing to assume. Then you pull the rug out from under them, surprising them with it being the brick and with the fact that you have now justified telling the first part. It's not a knee-slapper, but the amusement is in the absurdity and unexpected twist at the end. It probably works quite a bit better when told rather than written.