I posted about it a few weeks ago, Paula.
It's an in-joke amongst comedians. There is no real joke in the traditional sense because it's different whenever someone tells it; the only thing that's the same is the beginning of it and the end of it. The person telling it is supposed to fill in the middle of it with his or her own "version of events," so to speak. All versions of it are incredibly disgusting, so I don't recommend that the weak of heart or easily offended Google it.
I have a video of Gilbert Gottfried telling it and it churned my stomach AND made me laugh hysterically at the same time.