A horse walks in to a bar. The bartender looks at the horse and asks "Didn't I see you in here with Descartes last weekend?"
The horse thinks for a moment and says, "I don't think so."
The horse vanishes.
You see, the joke is a reference to Descartes' philosophical work, specifically his oft-quoted Latin phrase "Cogito, ergo sum" which has often been overly simplified in western pop culture as "I think, therefore I am". There have been many pop-culture variations on this in varying degrees of seriousness, but more often it's used for comedic effect, such as imagining talking horses vanishing from bars. The actual philosophy is quite nuanced. Descartes even mused on the concept of thought itself, attempting to take nothing for granted.
I mean, I could have explained the philosophical background to the silly joke at the start. But that would have been putting Descartes before the horse.
