The joke was about a competition between the policemen in the FBI from the country of the United States, the KGB from the country of Russia, and the Mexican police, to see who would be the first to find a pink rabbit in the forest. In the end the Mexican policemen turned up with a hippopotamus painted pink saying:
‘I’m a rabbit, I’m a rabbit.’
This was funny, but it was also a little bit true. That’s why I liked this joke so much: because it wasn’t really a joke. Everyone knows pink rabbits don’t really exist.