I don't get it. Does that mean I'm stupid?

Yes.
I'm afraid it does.
It's just a joke, after all. It's not the KFC's secret chicken recipe.
Being stupid, not getting jokes, is caused by a number of things.
Not paying attention.
If you weren't listening, just say so. But remember, a joke only lasts a minute or two. Sometimes even less.
Surely your attention span is longer than that.
Or.
You're just not thinking.
Where did he say the salesman was from? How many chickens were there? What color were the lady's eyes? Were you listening to the details of the joke?
I hate to tell you this, but one of the BEST things about jokes is the kick I get when people don't get it.
Maybe I'm being a little harsh.
Maybe the joke references things that you just simply aren't familiar to you.
But, then again, maybe your problem is that you think that jokes are simple and stupid.
They're not.
Jokes are very intelligent, and they make a powerful comment on culture and society.
A famous philosopher once said that a workable life philosophy could be composed entirely of jokes.
Pay attention.
Think about it.
Work it over in your head.
Realize that the joke teller is TRYING to be funny.
If all else fails.
Ask somebody to explain it to you.
But remember:
Jokes lose EVERYTHING when someone has to explain why they're funny.

Don't tempt me.

A student comes to a young professor's office hours. She glances down the hall, closes his door, kneels pleadingly.
"I would do anything to pass this exam."
She leans closer to him, flips back her hair, gazes meaningfully into his eyes.
"I mean..." she whispers, “I would do...anything."
He returns her gaze. "Anything?"
“Anything."
His voice softens. "Anything??"
"Absolutely anything."
His voice turns to a whisper. "Would you...study?"