I would argue that:
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This is not actually a joke in the strict sense of the word. There is no punchline. The humor is entirely in the context.
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Your friend does not understand any of this and is just repeating the "joke" because other people laughed about it at some point. It has nothing to do with the Windows operating system, so if that was part of his explanation he is probably just making shit up to cover his own ignorance.